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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

  1. Martín Almuzara & Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "GDP Solera. The Ideal Vintage Mix," Working Papers wp2022_2204, CEMFI.

    Cited by:

    1. Sentana, Enrique & Almuzara, Martin & Fiorentini, Gabriele, 2021. "Aggregate Output Measurements: A Common Trend Approach," CEPR Discussion Papers 15758, C.E.P.R. Discussion Papers.

  2. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "PML vs minimum χ 2 : the comeback," Working Papers wp2022_2210, CEMFI.

    Cited by:

    1. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "Specification tests for non-Gaussian structural vector autoregressions," Working Papers wp2022_2212, CEMFI.
    2. Gabriele Fiorentini & Enrique Sentana, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," Working Papers wp2020_2023, CEMFI.

  3. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "Specification tests for non-Gaussian structural vector autoregressions," Working Papers wp2022_2212, CEMFI.

    Cited by:

    1. Gabriele Fiorentini & Enrique Sentana, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," Working Papers wp2020_2023, CEMFI.

  4. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Multivariate Hermite polynomials and information matrix tests," Working Papers wp2021_2103, CEMFI.

    Cited by:

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

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

    Cited by:

    1. Sentana, Enrique & Fiorentini, Gabriele, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
    2. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "Specification tests for non-Gaussian structural vector autoregressions," Working Papers wp2022_2212, CEMFI.
    3. Sascha A. Keweloh, 2023. "Structural Vector Autoregressions and Higher Moments: Challenges and Solutions in Small Samples," Papers 2310.08173, arXiv.org.
    4. Gabriele Fiorentini & Enrique Sentana, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," Working Papers wp2020_2023, CEMFI.
    5. 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.

  6. Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2021. "Aggregate Output Measurements: A Common Trend Approach," Working Papers wp2021_2101, CEMFI.

    Cited by:

    1. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "Tests for Random Coefficient Variation in Vector Autoregressive Models," Advances in Econometrics, in: Essays in Honour of Fabio Canova, volume 44, pages 1-35, Emerald Group Publishing Limited.
    2. 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.
    3. 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.

  7. Jan R. Magnus & Henk G. J. Pijls & Enrique Sentana, 2020. "The Jacobian of the Exponential Function," Working Papers wp2020_2005, CEMFI.

    Cited by:

    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.
    2. Gabriele Fiorentini & Enrique Sentana, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," Working Papers wp2020_2023, CEMFI.

  8. Dante Amengual & Enrique Sentana & Zhanyuan Tian, 2020. "Gaussian Rank Correlation and Regression," Working Papers wp2020_2004, CEMFI.

    Cited by:

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

  9. Jan R. Magnus & Enrique Sentana, 2020. "Zero-Diagonality as a Linear Structure," Working Papers wp2020_2016, CEMFI.

    Cited by:

    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.
    2. Gabriele Fiorentini & Enrique Sentana, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," Working Papers wp2020_2023, CEMFI.

  10. Gabriele Fiorentini & Enrique Sentana, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," Working Papers wp2020_2023, CEMFI.

    Cited by:

    1. Sentana, Enrique & Fiorentini, Gabriele, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
    2. 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).
    3. 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.
    4. 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.
    5. 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.
    6. 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.

  11. Dante Amengual & Xinyue Bei & Enrique Sentana, 2020. "Hypothesis Tests with a Repeatedly Singular Information Matrix," Working Papers wp2020_2002, CEMFI.

    Cited by:

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

  12. Gabriele Fiorentini & Enrique Sentana, 2018. "New Testing Approaches for Mean-Variance Predictability," Working Papers wp2018_1814, CEMFI.

    Cited by:

    1. Gabriele Fiorentini & Enrique Sentana, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," Working Papers wp2020_2023, CEMFI.

  13. Gabriele Fiorentini & Enrique Sentana, 2018. "Specification Tests for Non-Gaussian Maximum Likelihood Estimators," Working Papers wp2018_1804, CEMFI.

    Cited by:

    1. Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," Working Paper series 18-06, Rimini Centre for Economic Analysis.
    2. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "Moment tests of independent components," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 13(1), pages 429-474, May.
    3. Gabriele Fiorentini & Enrique Sentana, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," Working Papers wp2020_2023, CEMFI.

  14. 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.

    Cited by:

    1. Taylor, Alan M. & Grimm, Maximilian & Jordà , Òscar & Schularick, Moritz, 2023. "Loose monetary policy and financial instability," CEPR Discussion Papers 17896, C.E.P.R. Discussion Papers.
    2. 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).
    3. 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.
    4. 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.
    5. Michael D. Bauer & Glenn D. Rudebusch, 2017. "Interest Rates Under Falling Stars," CESifo Working Paper Series 6571, CESifo.
    6. 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.
    7. 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.
    8. 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).
    9. Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2018. "Global trends in interest rates," Staff Reports 866, Federal Reserve Bank of New York.
    10. Lodge, David & Pérez, Javier J. & Albrizio, Silvia & Everett, Mary & De Bandt, Olivier & Georgiadis, Georgios & Ca' Zorzi, Michele & Lastauskas, Povilas & Carluccio, Juan & Parrága, Susana & Carvalho,, 2021. "The implications of globalisation for the ECB monetary policy strategy," Occasional Paper Series 263, European Central Bank.
    11. Brand, Claus & Mazelis, Falk, 2019. "Taylor-rule consistent estimates of the natural rate of interest," Working Paper Series 2257, European Central Bank.
    12. Javier G. Gómez-Pineda, 2019. "The natural interest rate in Latin America," Borradores de Economia 1067, Banco de la Republica de Colombia.
    13. Comunale, Mariarosaria & Felice, Giulia, 2022. "Trade and structural change: An empirical investigation," International Economics, Elsevier, vol. 171(C), pages 58-79.
    14. 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.
    15. 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.
    16. 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).
    17. 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.
    18. 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.
    19. Fu, Bowen, 2023. "Measuring the trend real interest rate in a data-rich environment," Journal of Economic Dynamics and Control, Elsevier, vol. 147(C).
    20. Isabel Argimón, 2018. "The relevance of currency-denomination for the cross-border effects of monetary policy," Working Papers 1827, Banco de España.
    21. 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.
    22. María Moraga & Roberto Ramos, 2020. "An estimate of Pension System financial returns," Economic Bulletin, Banco de España, issue 3/2020.
    23. 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.
    24. Bank for International Settlements, 2019. "Unconventional monetary policy tools: a cross-country analysis," CGFS Papers, Bank for International Settlements, number 63, december.
    25. 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.
    26. 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.
    27. 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.

  15. Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators," Working Papers wp2018_1802, CEMFI.

    Cited by:

    1. Sentana, Enrique & Fiorentini, Gabriele, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
    2. Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Working Paper series 19-01, Rimini Centre for Economic Analysis.
    3. 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.
    4. 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.
    5. Gabriele Fiorentini & Enrique Sentana, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," Working Papers wp2020_2023, CEMFI.
    6. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "PML vs minimum χ 2 : the comeback," Working Papers wp2022_2210, CEMFI.

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

    Cited by:

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

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

    Cited by:

    1. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "Tests for Random Coefficient Variation in Vector Autoregressive Models," Advances in Econometrics, in: Essays in Honour of Fabio Canova, volume 44, pages 1-35, Emerald Group Publishing Limited.
    2. Sentana, Enrique & Almuzara, Martin & Fiorentini, Gabriele, 2021. "Aggregate Output Measurements: A Common Trend Approach," CEPR Discussion Papers 15758, C.E.P.R. Discussion Papers.
    3. 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.
    4. Dante Amengual & Gariele Fiorentini & Enrique Sentan, 2024. "Information matrix tests for multinomial logit models," Working Papers wp2024_2406, CEMFI.
    5. 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.
    6. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2024. "The information matrix test for Gaussian mixtures," Working Papers wp2024_2401, CEMFI.
    7. 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.

  18. Elena Manresa & Francisco Peñaranda & Enrique Sentana, 2017. "Empirical Evaluation of Overspecified Asset Pricing Models," Working Papers wp2017_1711, CEMFI.

    Cited by:

    1. 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.
    2. 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.

  19. Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2016. "A spectral EM algorithm for dynamic factor models," Working Papers 1619, Banco de España.

    Cited by:

    1. Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2015. "Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation," Working Papers wp2015_1502, CEMFI.
    2. 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.
    3. Sentana, Enrique & Almuzara, Martin & Fiorentini, Gabriele, 2021. "Aggregate Output Measurements: A Common Trend Approach," CEPR Discussion Papers 15758, C.E.P.R. Discussion Papers.
    4. Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021. "Factor extraction using Kalman filter and smoothing: This is not just another survey," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
    5. Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Working Papers ECARES 2023-15, ULB -- Universite Libre de Bruxelles.
    6. Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," Working Papers 2019-4, University of Hawaii Economic Research Organization, University of Hawaii at Manoa.
    7. Gabriele Fiorentini & Enrique Sentana, 2013. "Dynamic Specification Tests for Dynamic Factor Models," Working Papers wp2013_1306, CEMFI.
    8. 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.
    9. Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," PSE Working Papers halshs-02262202, HAL.
    10. Ruiz Ortega, Esther & 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 Estadística.
    11. Martín Almuzara & Dante Amengual & Enrique Sentana, 2019. "Normality tests for latent variables," Quantitative Economics, Econometric Society, vol. 10(3), pages 981-1017, July.
    12. Matteo Barigozzi, 2023. "Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review," Papers 2303.11777, arXiv.org, revised Dec 2023.
    13. Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," Working Papers halshs-02262202, HAL.
    14. 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.
    15. Michael Creel, 2021. "Inference Using Simulated Neural Moments," Econometrics, MDPI, vol. 9(4), pages 1-15, September.
    16. Alonso Fernández, Andrés Modesto & 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 Estadística.
    17. 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 Feb 2022.

  20. Enrique Sentana, 2015. "Finite Underidentification," Working Papers wp2015_1508, CEMFI.

    Cited by:

    1. 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).
    2. 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.

  21. Javier Mencía & Enrique Sentana, 2015. "Volatility-related exchange traded assets: an econometric investigation," Working Papers 1510, Banco de España.

    Cited by:

    1. 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.
    2. León, Ángel & Ñíguez, Trino-Manuel, 2020. "Modeling asset returns under time-varying semi-nonparametric distributions," Journal of Banking & Finance, Elsevier, vol. 118(C).
    3. 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.

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

    Cited by:

    1. Dolado, Juan J & Chen, Liang & Gonzalo, Jesus, 2018. "Quantile Factor Models," CEPR Discussion Papers 12716, C.E.P.R. Discussion Papers.
    2. Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Working Paper series 19-01, Rimini Centre for Economic Analysis.
    3. Sentana, Enrique & Amengual, Dante & Bei, Xinyue, 2020. "Hypothesis tests with a repeatedly singular information matrix," CEPR Discussion Papers 14415, C.E.P.R. Discussion Papers.

  23. 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.

    Cited by:

    1. 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.
    2. Gabriele Fiorentini & Enrique Sentana, 2013. "Dynamic Specification Tests for Dynamic Factor Models," Working Papers wp2013_1306, CEMFI.

  24. Gabriele Fiorentini & Enrique Sentana, 2014. "Neglected Serial Correlation Tests in UCARIMA Models," Working Papers wp2014_1406, CEMFI.

    Cited by:

    1. 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.
    2. Gabriele Fiorentini & Enrique Sentana, 2013. "Dynamic Specification Tests for Dynamic Factor Models," Working Papers wp2013_1306, CEMFI.
    3. Dante Amengual & Xinyue Bei & Enrique Sentana, 2023. "Highly Irregular Serial Correlation Tests," Working Papers wp2023_2302, CEMFI.

  25. Gabriele Fiorentini & Enrique Sentana, 2013. "Dynamic Specification Tests for Dynamic Factor Models," Working Papers wp2013_1306, CEMFI.

    Cited by:

    1. 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.
    2. 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.
    3. Sentana, Enrique & Almuzara, Martin & Amengual, Dante & Fiorentini, Gabriele, 2022. "GDP Solera: The Ideal Vintage Mix," CEPR Discussion Papers 17196, C.E.P.R. Discussion Papers.
    4. 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.
    5. 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.
    6. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.

  26. Javier Mencía & Enrique Sentana, 2012. "Valuation of vix derivatives," Working Papers 1232, Banco de España.

    Cited by:

    1. 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.
    2. 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.
    3. Chen, Yu-Lun & Yang, J. Jimmy, 2021. "Trader positions in VIX futures," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 1-17.
    4. 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.
    5. 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.
    6. 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.
    7. 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.
    8. 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.
    9. 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.
    10. Anders Merrild Posselt, 2022. "Dynamics in the VIX complex," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(9), pages 1665-1687, September.
    11. 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.
    12. Stéphane Goutte & Amine Ismail & Huyên Pham, 2017. "Regime-switching Stochastic Volatility Model : Estimation and Calibration to VIX options," Post-Print hal-01212018, HAL.
    13. 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.
    14. Sebastian A. Gehricke & Jin E. Zhang, 2020. "Modeling VXX under jump diffusion with stochastic long‐term mean," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(10), pages 1508-1534, October.
    15. Tim Leung & Brian Ward, 2020. "Tracking VIX with VIX Futures: Portfolio Construction and Performance," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 21, pages 557-596, World Scientific Publishing Co. Pte. Ltd..
    16. Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Working Paper series 19-01, Rimini Centre for Economic Analysis.
    17. Song, Zhaogang & Xiu, Dacheng, 2016. "A tale of two option markets: Pricing kernels and volatility risk," Journal of Econometrics, Elsevier, vol. 190(1), pages 176-196.
    18. Hongfei Tang & Xiaoqing Eleanor Xu, 2019. "Dissecting the tracking performance of regular and leveraged VIX ETPs," Review of Derivatives Research, Springer, vol. 22(2), pages 261-327, July.
    19. Gaoxiu Qiao & Gongyue Jiang, 2023. "VIX futures pricing based on high‐frequency VIX: A hybrid approach combining SVR with parametric models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1238-1260, September.
    20. Xinglin Yang & Peng Wang, 2018. "VIX futures pricing with conditional skewness," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(9), pages 1126-1151, September.
    21. Tim Leung & Jiao Li & Xin Li & Zheng Wang, 2016. "Speculative Futures Trading under Mean Reversion," Papers 1601.04210, arXiv.org.
    22. Chen Tong & Zhuo Huang & Tianyi Wang, 2022. "Do VIX futures contribute to the valuation of VIX options?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(9), pages 1644-1664, September.
    23. Wang, Qi & Wang, Zerong, 2020. "VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump," Journal of Banking & Finance, Elsevier, vol. 116(C).
    24. Lian, Guanghua & Chiarella, Carl & Kalev, Petko S., 2014. "Volatility swaps and volatility options on discretely sampled realized variance," Journal of Economic Dynamics and Control, Elsevier, vol. 47(C), pages 239-262.
    25. Huang, Hung-Hsi & Lin, Shin-Hung & Wang, Chiu-Ping, 2019. "Reasonable evaluation of VIX options for the Taiwan stock index," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 111-130.
    26. Bechir Raggad & Elie Bouri, 2023. "Quantile Dependence between Crude Oil Returns and Implied Volatility: Evidence from Parametric and Nonparametric Tests," Mathematics, MDPI, vol. 11(3), pages 1-23, January.
    27. Takuji Arai, 2019. "Pricing And Hedging Of Vix Options For Barndorff-Nielsen And Shephard Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(08), pages 1-26, December.
    28. Xiu, Dacheng, 2014. "Hermite polynomial based expansion of European option prices," Journal of Econometrics, Elsevier, vol. 179(2), pages 158-177.
    29. Oh, Dong Hwan & Park, Yang-Ho, 2023. "GARCH option pricing with volatility derivatives," Journal of Banking & Finance, Elsevier, vol. 146(C).
    30. Ömer ÖNALAN, 2022. "Joint Modelling of S&P500 and VIX Indices with Rough Fractional Ornstein-Uhlenbeck Volatility Model," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 68-84, April.
    31. Ian Dew-Becker & Stefano Giglio & Anh Le & Marius Rodriguez, 2015. "The Price of Variance Risk," NBER Working Papers 21182, National Bureau of Economic Research, Inc.
    32. Hiroyuki Okawa, 2023. "Markov-Regime Switches in Oil Markets: The Fear Factor Dynamics," JRFM, MDPI, vol. 16(2), pages 1-20, January.
    33. Alexandru Badescu & Zhenyu Cui & Juan-Pablo Ortega, 2019. "Closed-form variance swap prices under general affine GARCH models and their continuous-time limits," Annals of Operations Research, Springer, vol. 282(1), pages 27-57, November.
    34. Gonzalez-Perez, Maria T., 2015. "Model-free volatility indexes in the financial literature: A review," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 141-159.
    35. Chen Tong & Zhuo Huang, 2021. "Pricing VIX options with realized volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1180-1200, August.
    36. Li, Jing & Li, Lingfei & Zhang, Gongqiu, 2017. "Pure jump models for pricing and hedging VIX derivatives," Journal of Economic Dynamics and Control, Elsevier, vol. 74(C), pages 28-55.
    37. Li Chen & Guang Zhang, 2021. "Hermite Polynomial-based Valuation of American Options with General Jump-Diffusion Processes," Papers 2104.11870, arXiv.org.
    38. Xiaoyu Tan & Chengxiang Wang & Wei Lin & Jin E. Zhang & Shenghong Li & Xuejun Zhao & Zili Zhang, 2021. "The term structure of the VXX option smirk: Pricing VXX option with a two‐factor model and asymmetry jumps," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(4), pages 439-457, April.
    39. Jiao Li, 2016. "Trading VIX Futures under Mean Reversion with Regime Switching," Papers 1605.07945, arXiv.org, revised Jun 2016.
    40. Jaegi Jeon & Geonwoo Kim & Jeonggyu Huh, 2021. "Consistent and efficient pricing of SPX and VIX options under multiscale stochastic volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 559-576, May.
    41. Hongkai Cao & Alexandru Badescu & Zhenyu Cui & Sarath Kumar Jayaraman, 2020. "Valuation of VIX and target volatility options with affine GARCH models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(12), pages 1880-1917, December.
    42. Zhuo Huang & Chen Tong & Tianyi Wang, 2019. "VIX term structure and VIX futures pricing with realized volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 72-93, January.
    43. Park, Yang-Ho, 2016. "The effects of asymmetric volatility and jumps on the pricing of VIX derivatives," Journal of Econometrics, Elsevier, vol. 192(1), pages 313-328.
    44. Eckhard Platen & Renata Rendek, 2019. "Dynamics of a Well-Diversified Equity Index," Research Paper Series 398, Quantitative Finance Research Centre, University of Technology, Sydney.
    45. Li, Zhenxiong & Yao, Xingzhi & Izzeldin, Marwan, 2023. "On the right jump tail inferred from the VIX market," International Review of Financial Analysis, Elsevier, vol. 86(C).
    46. 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.
    47. Xinglin Yang & Ji Chen, 2021. "VIX term structure: The role of jump propagation risks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(6), pages 785-810, June.
    48. Liu, Bing-Yue & Ji, Qiang & Fan, Ying, 2017. "Dynamic return-volatility dependence and risk measure of CoVaR in the oil market: A time-varying mixed copula model," Energy Economics, Elsevier, vol. 68(C), pages 53-65.
    49. Farshid Mehrdoust & Idin Noorani, 2019. "Pricing S&P500 barrier put option of American type under Heston–CIR model with regime-switching," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 1-17, June.
    50. Sebastian A. Gehricke & Jin E. Zhang, 2018. "Modeling VXX," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(8), pages 958-976, August.
    51. Chen, Xiaoyi & Feng, JianFen & Wang, Tianyi, 2023. "Pricing VIX futures: A framework with random level shifts," Finance Research Letters, Elsevier, vol. 52(C).
    52. Pacati, Claudio & Pompa, Gabriele & Renò, Roberto, 2018. "Smiling twice: The Heston++ model," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 185-206.
    53. Jaegi Jeon & Geonwoo Kim & Jeonggyu Huh, 2019. "Consistent and Efficient Pricing of SPX and VIX Options under Multiscale Stochastic Volatility," Papers 1909.10187, arXiv.org.
    54. Dutta, Anupam & Bouri, Elie & Saeed, Tareq & Vo, Xuan Vinh, 2020. "Impact of energy sector volatility on clean energy assets," Energy, Elsevier, vol. 212(C).
    55. Jiao Li, 2016. "Trading VIX futures under mean reversion with regime switching," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 1-20, September.
    56. Gongyue Jiang & Gaoxiu Qiao & Feng Ma & Lu Wang, 2022. "Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1518-1548, August.
    57. Tim Leung & Brian Ward, 2018. "Dynamic Index Tracking and Risk Exposure Control Using Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 25(2), pages 180-212, March.
    58. Zhe Zhao & Zhenyu Cui & Ionuţ Florescu, 2018. "VIX derivatives valuation and estimation based on closed-form series expansions," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(02), pages 1-18, June.
    59. Jing, Bo & Li, Shenghong & Ma, Yong, 2021. "Consistent pricing of VIX options with the Hawkes jump-diffusion model," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    60. Zhigang Tong, 2017. "Modelling VIX and VIX derivatives with reducible diffusions," International Journal of Bonds and Derivatives, Inderscience Enterprises Ltd, vol. 3(2), pages 153-175.
    61. Gehricke, Sebastian A. & Zhang, Jin E., 2021. "Tracking performance of VIX futures ETPs," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 103-117.
    62. Wei Lin & Jin E. Zhang, 2022. "Pricing VXX options by modeling VIX directly," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 888-922, May.
    63. Qiang Liu & Yuhan Jiao & Shuxin Guo, 2022. "GARCH pricing and hedging of VIX options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(6), pages 1039-1066, June.
    64. Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante, 2016. "Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach," CREATES Research Papers 2016-20, Department of Economics and Business Economics, Aarhus University.
    65. Yang-Ho Park, 2015. "The Effects of Asymmetric Volatility and Jumps on the Pricing of VIX Derivatives," Finance and Economics Discussion Series 2015-71, Board of Governors of the Federal Reserve System (U.S.).
    66. Huang, Darien & Schlag, Christian & Shaliastovich, Ivan & Thimme, Julian, 2018. "Volatility-of-volatility risk," SAFE Working Paper Series 210, Leibniz Institute for Financial Research SAFE.
    67. Jiling Cao & Xinfeng Ruan & Shu Su & Wenjun Zhang, 2021. "Specification analysis of VXX option pricing models under Lévy processes," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(9), pages 1456-1477, September.
    68. Park, Yang-Ho, 2020. "Variance disparity and market frictions," Journal of Econometrics, Elsevier, vol. 214(2), pages 326-348.
    69. Bjørn Eraker & Aoxiang Yang, 2022. "The Price of Higher Order Catastrophe Insurance: The Case of VIX Options," Journal of Finance, American Finance Association, vol. 77(6), pages 3289-3337, December.
    70. Bo Jing & Shenghong Li & Yong Ma, 2020. "Pricing VIX options with volatility clustering," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(6), pages 928-944, June.
    71. Jiling Cao & Xinfeng Ruan & Shu Su & Wenjun Zhang, 2020. "Pricing VIX derivatives with infinite‐activity jumps," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 329-354, March.
    72. George O. Aragon & Rajnish Mehra & Sunil Wahal, 2018. "Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures Markets," NBER Working Papers 24575, National Bureau of Economic Research, Inc.
    73. Changfu Ma & Wei Xu & Yue Kuen Kwok, 2020. "Willow tree algorithms for pricing VIX derivatives under stochastic volatility models," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 7(01), pages 1-28, March.
    74. Fangsheng Yin & Yang Bian & Tianyi Wang, 2021. "A short cut: Directly pricing VIX futures with discrete‐time long memory model and asymmetric jumps," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(4), pages 458-477, April.
    75. Lo, Chien-Ling & Shih, Pai-Ta & Wang, Yaw-Huei & Yu, Min-Teh, 2019. "VIX derivatives: Valuation models and empirical evidence," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 1-21.
    76. Xinglin Yang, 2023. "Unspanned macro risks in VIX futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1305-1328, September.
    77. Xingguo Luo & Jin E. Zhang & Wenjun Zhang, 2019. "Instantaneous squared VIX and VIX derivatives," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(10), pages 1193-1213, October.

  27. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.

    Cited by:

    1. 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.
    2. Patrick Gagliardini & Elisa Ossola & Olivier Scaillet, 2016. "A diagnostic criterion for approximate factor structure," Papers 1612.04990, arXiv.org, revised Aug 2017.
    3. Gabriele Fiorentini & Enrique Sentana, 2013. "Dynamic Specification Tests for Dynamic Factor Models," Working Papers wp2013_1306, CEMFI.

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

    Cited by:

    1. Sentana, Enrique & Fiorentini, Gabriele, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
    2. Gabriele Fiorentini & Enrique Sentana, 2013. "Dynamic Specification Tests for Dynamic Factor Models," Working Papers wp2013_1306, CEMFI.
    3. 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).
    4. Enrique Sentana, 2018. "Volatility, Diversification and Contagion," Working Papers wp2018_1803, CEMFI.
    5. 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.
    6. Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," Working Paper series 18-06, Rimini Centre for Economic Analysis.
    7. Christian Bontemps, 2019. "Moment-Based Tests under Parameter Uncertainty," Post-Print hal-02004687, HAL.
    8. Bontemps, Christian, 2013. "Moment-Based Tests for Discrete Distributions," IDEI Working Papers 772, Institut d'Économie Industrielle (IDEI), Toulouse, revised Oct 2014.
    9. Loïc Cantin & Christian Francq & Jean-Michel Zakoïan, 2022. "Estimating dynamic systemic risk measures," Working Papers 2022-11, Center for Research in Economics and Statistics.
    10. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.

  29. Francisco Peñaranda & Enrique Sentana, 2010. "A Unifying Approach to the Empirical Evaluation of Asset Pricing Models," Working Papers 488, Barcelona School of Economics.

    Cited by:

    1. 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.
    2. 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.
    3. Sentana, Enrique & Peñaranda, Francisco, 2007. "Duality in Mean-Variance Frontiers with Conditioning Information," CEPR Discussion Papers 6566, C.E.P.R. Discussion Papers.
    4. 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.
    5. 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.
    6. Sentana, Enrique & Manresa, Elena & Penaranda, Francisco, 2017. "Empirical Evaluation of Overspecified Asset Pricing Models," CEPR Discussion Papers 12085, C.E.P.R. Discussion Papers.
    7. 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.
    8. 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.
    9. Enrique Sentana, 2015. "Finite Underidentification," Working Papers wp2015_1508, CEMFI.
    10. 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.

  30. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests for Static Factor Models," Working Papers wp2009_0912, CEMFI.

    Cited by:

    1. Hafedh Bouakez & Foued Chihi & Michel Normandin, 2010. "Measuring the Effects of Fiscal Policy," Cahiers de recherche 1016, CIRPEE.
    2. Bouakez, Hafedh & Chihi, Foued & Normandin, Michel, 2014. "Fiscal policy and external adjustment: New evidence," Journal of International Money and Finance, Elsevier, vol. 40(C), pages 1-20.
    3. Hafedh Bouakez & Denis Larocque & Michel Normandin, 2018. "Separating the wheat from the chaff: A disaggregate analysis of the effects of public spending in the US," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 51(2), pages 361-390, May.
    4. Bouakez, Hafedh & Essid, Badye & Normandin, Michel, 2013. "Stock returns and monetary policy: Are there any ties?," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 33-50.
    5. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.

  31. Javier Mencía & Enrique Sentana, 2009. "Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation," Working Papers 0909, Banco de España.

    Cited by:

    1. Yusuke Kamishiro & Roberto Serrano, 2009. "Equilibrium blocking in large quasilinear economies," Working Papers 2009-12, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
    2. Bonhomme, Stphane & Robin, Jean-Marc, 2009. "Consistent noisy independent component analysis," Journal of Econometrics, Elsevier, vol. 149(1), pages 12-25, April.
    3. 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.
    4. Roberto Serrano, 2009. "On Watson's Non-Forcing Contracts and Renegotiation," Economics Bulletin, AccessEcon, vol. 29(3), pages 2350-2360.
    5. Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009. "Underidentification? (Resumen)," Working Papers wp2009_0905, CEMFI.
    6. Sentana, Enrique & Fiorentini, Gabriele, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
    7. 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.
    8. Topaloglou, Nikolas & Tsionas, Mike G., 2020. "Stochastic dominance tests," Journal of Economic Dynamics and Control, Elsevier, vol. 112(C).
    9. 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.
    10. 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.
    11. Sentana, Enrique & Amengual, Dante, 2015. "Is a normal copula the right copula?," CEPR Discussion Papers 10809, C.E.P.R. Discussion Papers.
    12. Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Working Paper series 19-01, Rimini Centre for Economic Analysis.
    13. 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.
    14. 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.
    15. 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.
    16. Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2015. "Efficient Skewness/Semivariance Portfolios," GEMF Working Papers 2015-05, GEMF, Faculty of Economics, University of Coimbra.
    17. 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.
    18. 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.
    19. 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.
    20. Javier Mencía & Enrique Sentana, 2009. "Distributional tests in multivariate dynamic models with Normal and Student t innovations," Working Papers 0929, Banco de España.
    21. Rafael Repullo & Javier Suarez, 2008. "The Procyclical Effects of Basel II," Working Papers wp2008_0809, CEMFI.
    22. Gulliksson, Mårten & Mazur, Stepan, 2019. "An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection," Working Papers 2019:3, Örebro University, School of Business.
    23. Jondeau, Eric, 2016. "Asymmetry in tail dependence in equity portfolios," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 351-368.
    24. Max Bruche, 2009. "Bankruptcy Codes, Liquidation Timing, and Debt Valuation," Working Papers wp2009_0902, CEMFI.
    25. 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.
    26. 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".
    27. 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.
    28. Enrique Sentana, 2018. "Volatility, Diversification and Contagion," Working Papers wp2018_1803, CEMFI.
    29. 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.
    30. 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.
    31. 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).
    32. 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.
    33. 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.
    34. 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.
    35. 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.
    36. Gabriele Fiorentini & Enrique Sentana, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," Working Papers wp2020_2023, CEMFI.
    37. 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.
    38. 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).
    39. 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.
    40. Enrique Sentana, 2008. "The Econometrics of Mean-Variance Efficiency Tests: A Survey," Working Papers wp2008_0807, CEMFI.
    41. Zhu, Min, 2013. "Return distribution predictability and its implications for portfolio selection," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 209-223.
    42. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests for Static Factor Models," Working Papers wp2009_0912, CEMFI.
    43. Ryo Kinoshita, 2015. "Asset allocation under higher moments with the GARCH filter," Empirical Economics, Springer, vol. 49(1), pages 235-254, August.
    44. 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.
    45. Mattei, Pierre-Alexandre, 2017. "Multiplying a Gaussian matrix by a Gaussian vector," Statistics & Probability Letters, Elsevier, vol. 128(C), pages 67-70.
    46. Geraci, Marco Valerio & Garbaravičius, Tomas & Veredas, David, 2018. "Short selling in extreme events," Journal of Financial Stability, Elsevier, vol. 39(C), pages 90-103.
    47. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.

  32. Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009. "Underidentification? (Resumen)," Working Papers wp2009_0905, CEMFI.

    Cited by:

    1. Yusuke Kamishiro & Roberto Serrano, 2009. "Equilibrium blocking in large quasilinear economies," Working Papers 2009-12, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
    2. Roberto Serrano, 2009. "On Watson's Non-Forcing Contracts and Renegotiation," Economics Bulletin, AccessEcon, vol. 29(3), pages 2350-2360.
    3. 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).
    4. 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.
    5. 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.
    6. 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.
    7. 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.

  33. Javier Mencía & Enrique Sentana, 2009. "Distributional tests in multivariate dynamic models with Normal and Student t innovations," Working Papers 0929, Banco de España.

    Cited by:

    1. Yusuke Kamishiro & Roberto Serrano, 2009. "Equilibrium blocking in large quasilinear economies," Working Papers 2009-12, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
    2. Roberto Serrano, 2009. "On Watson's Non-Forcing Contracts and Renegotiation," Economics Bulletin, AccessEcon, vol. 29(3), pages 2350-2360.
    3. Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009. "Underidentification? (Resumen)," Working Papers wp2009_0905, CEMFI.
    4. Sentana, Enrique & Fiorentini, Gabriele, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
    5. 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.
    6. 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.
    7. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "Specification tests for non-Gaussian structural vector autoregressions," Working Papers wp2022_2212, CEMFI.
    8. Dovonon, Prosper, 2008. "Conditionally heteroskedastic factor models with skewness and leverage effects," MPRA Paper 40206, University Library of Munich, Germany, revised Feb 2012.
    9. Sentana, Enrique & Amengual, Dante, 2015. "Is a normal copula the right copula?," CEPR Discussion Papers 10809, C.E.P.R. Discussion Papers.
    10. Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Working Paper series 19-01, Rimini Centre for Economic Analysis.
    11. 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.
    12. 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.
    13. Amengual, Dante & Sentana, Enrique, 2010. "A comparison of mean-variance efficiency tests," Journal of Econometrics, Elsevier, vol. 154(1), pages 16-34, January.
    14. Rafael Repullo & Javier Suarez, 2008. "The Procyclical Effects of Basel II," Working Papers wp2008_0809, CEMFI.
    15. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2024. "The information matrix test for Gaussian mixtures," Working Papers wp2024_2401, CEMFI.
    16. Max Bruche, 2009. "Bankruptcy Codes, Liquidation Timing, and Debt Valuation," Working Papers wp2009_0902, CEMFI.
    17. 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).
    18. Enrique Sentana, 2018. "Volatility, Diversification and Contagion," Working Papers wp2018_1803, CEMFI.
    19. Martín Almuzara & Dante Amengual & Enrique Sentana, 2019. "Normality tests for latent variables," Quantitative Economics, Econometric Society, vol. 10(3), pages 981-1017, July.
    20. Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," Working Paper series 18-06, Rimini Centre for Economic Analysis.
    21. 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.
    22. Christian Bontemps, 2019. "Moment-Based Tests under Parameter Uncertainty," Post-Print hal-02004687, HAL.
    23. Bontemps, Christian, 2013. "Moment-Based Tests for Discrete Distributions," IDEI Working Papers 772, Institut d'Économie Industrielle (IDEI), Toulouse, revised Oct 2014.
    24. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests for Static Factor Models," Working Papers wp2009_0912, CEMFI.
    25. 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.
    26. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.

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

    Cited by:

    1. Yusuke Kamishiro & Roberto Serrano, 2009. "Equilibrium blocking in large quasilinear economies," Working Papers 2009-12, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
    2. Roberto Serrano, 2009. "On Watson's Non-Forcing Contracts and Renegotiation," Economics Bulletin, AccessEcon, vol. 29(3), pages 2350-2360.
    3. Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009. "Underidentification? (Resumen)," Working Papers wp2009_0905, CEMFI.
    4. Sentana, Enrique & Fiorentini, Gabriele, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
    5. 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.
    6. Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Working Paper series 19-01, Rimini Centre for Economic Analysis.
    7. 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.
    8. 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.
    9. Zeng-Hua Lu, 2020. "Bahadur intercept with applications to one-sided testing," Statistical Papers, Springer, vol. 61(2), pages 645-658, April.
    10. Rafael Repullo & Javier Suarez, 2008. "The Procyclical Effects of Basel II," Working Papers wp2008_0809, CEMFI.
    11. Gulliksson, Mårten & Mazur, Stepan, 2019. "An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection," Working Papers 2019:3, Örebro University, School of Business.
    12. Max Bruche, 2009. "Bankruptcy Codes, Liquidation Timing, and Debt Valuation," Working Papers wp2009_0902, CEMFI.
    13. Enrique Sentana, 2018. "Volatility, Diversification and Contagion," Working Papers wp2018_1803, CEMFI.
    14. 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.
    15. Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," Working Paper series 18-06, Rimini Centre for Economic Analysis.
    16. 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.
    17. 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.
    18. Enrique Sentana, 2008. "The Econometrics of Mean-Variance Efficiency Tests: A Survey," Working Papers wp2008_0807, CEMFI.
    19. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests for Static Factor Models," Working Papers wp2009_0912, CEMFI.
    20. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.

  35. Enrique Sentana, 2008. "The Econometrics of Mean-Variance Efficiency Tests: A Survey," Working Papers wp2008_0807, CEMFI.

    Cited by:

    1. Yusuke Kamishiro & Roberto Serrano, 2009. "Equilibrium blocking in large quasilinear economies," Working Papers 2009-12, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
    2. Roberto Serrano, 2009. "On Watson's Non-Forcing Contracts and Renegotiation," Economics Bulletin, AccessEcon, vol. 29(3), pages 2350-2360.
    3. Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009. "Underidentification? (Resumen)," Working Papers wp2009_0905, CEMFI.
    4. Victor Chernozhukov & Emre Kocatulum & Konrad Menzel, 2012. "Inference on Sets in Finance," Papers 1211.4282, arXiv.org.
    5. 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.
    6. 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.
    7. 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.
    8. Amengual, Dante & Sentana, Enrique, 2010. "A comparison of mean-variance efficiency tests," Journal of Econometrics, Elsevier, vol. 154(1), pages 16-34, January.
    9. Rafael Repullo & Javier Suarez, 2008. "The Procyclical Effects of Basel II," Working Papers wp2008_0809, CEMFI.
    10. Sermin Gungor & Richard Luger, 2014. "Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings," Staff Working Papers 14-51, Bank of Canada.
    11. 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.
    12. Max Bruche, 2009. "Bankruptcy Codes, Liquidation Timing, and Debt Valuation," Working Papers wp2009_0902, CEMFI.
    13. 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.
    14. 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.
    15. 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.
    16. Yoshihiko Nishiyama & Peter Robinson, 2004. "The bootstrap and the Edgeworth correction for semiparametric averaged derivatives," CeMMAP working papers 12/04, Institute for Fiscal Studies.
    17. 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.
    18. 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.

  36. Ángel León & Javier Mencía & Enrique Sentana, 2007. "Parametric properties of semi-nonparametric distributions, with applications to option valuation," Working Papers 0707, Banco de España.

    Cited by:

    1. 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.
    2. 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.
    3. 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.
    4. 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.
    5. Javier Mencía, 2009. "Assessing the risk-return trade-off in loans portfolios," Working Papers 0911, Banco de España.
    6. 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.
    7. 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.
    8. 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.
    9. 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.
    10. Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2007. "Econometric Asset Pricing Modelling," Working Papers 2007-18, Center for Research in Economics and Statistics.
    11. Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Working Paper series 19-01, Rimini Centre for Economic Analysis.
    12. 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.
    13. 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.
    14. 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.
    15. 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.
    16. 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.
    17. 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.
    18. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
    19. Ignacio Mauleón, 2022. "Contributions to Risk Assessment with Edgeworth–Sargan Density Expansions (I): Stability Testing," Mathematics, MDPI, vol. 10(7), pages 1-18, March.
    20. Aitor Erce, 2008. "A structural model of sovereign debt issuance: assessing the role of financial factors," Working Papers 0809, Banco de España.
    21. León, Angel & Moreno, Manuel, 2017. "One-sided performance measures under Gram-Charlier distributions," Journal of Banking & Finance, Elsevier, vol. 74(C), pages 38-50.
    22. 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).
    23. José Cerón & Javier Suarez, 2006. "Hot and Cold Housing Markets: International Evidence," Working Papers wp2006_0603, CEMFI.
    24. 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).
    25. Jiménez, Inés & Mora-Valencia, Andrés & Perote, Javier, 2022. "Semi-nonparametric risk assessment with cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 59(C).
    26. 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..
    27. 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.
    28. 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.
    29. 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.
    30. 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.
    31. 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.
    32. 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.
    33. 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.
    34. 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.
    35. 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.
    36. Del Brio, Esther B. & Ñíguez, Trino-Manuel & Perote, Javier, 2008. "Multivariate Gram-Charlier Densities," MPRA Paper 29073, University Library of Munich, Germany.
    37. 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.
    38. 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.
    39. 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.
    40. 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.
    41. Isabel Argimón & Pablo Hernández de Cos, 2008. "The determinants of budget balances of the regional (Autonomous) governments," Working Papers 0803, Banco de España.
    42. Trespalacios, Alfredo & Cortés, Lina M. & Perote, Javier, 2020. "Uncertainty in electricity markets from a semi-nonparametric approach," Energy Policy, Elsevier, vol. 137(C).
    43. 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.
    44. 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.
    45. 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).
    46. 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.
    47. 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.
    48. 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).

  37. Francisco Peñaranda & Enrique Sentana, 2007. "Duality in Mean-Variance Frontiers with Conditioning Information," Working Papers wp2007_0715, CEMFI.

    Cited by:

    1. 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.
    2. Xiaohong Chen & Demian Pouzo, 2014. "Sieve Wald and QLR Inferences on Semi/nonparametric Conditional Moment Models," Papers 1411.1144, arXiv.org, revised Mar 2015.
    3. 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.
    4. Francisco Peñaranda, 2009. "Understanding portfolio efficiency with conditioning information," Economics Working Papers 1146, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2011.
    5. Sentana, Enrique & Manresa, Elena & Penaranda, Francisco, 2017. "Empirical Evaluation of Overspecified Asset Pricing Models," CEPR Discussion Papers 12085, C.E.P.R. Discussion Papers.
    6. 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.
    7. 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.

  38. Antonio Diez de los Rios & Enrique Sentana, 2007. "Testing Uncovered Interest Parity: A Continuous-Time Approach," Staff Working Papers 07-53, Bank of Canada.

    Cited by:

    1. Yusuke Kamishiro & Roberto Serrano, 2009. "Equilibrium blocking in large quasilinear economies," Working Papers 2009-12, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
    2. Roberto Serrano, 2009. "On Watson's Non-Forcing Contracts and Renegotiation," Economics Bulletin, AccessEcon, vol. 29(3), pages 2350-2360.
    3. Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009. "Underidentification? (Resumen)," Working Papers wp2009_0905, CEMFI.
    4. Antonio Diez de los Rios, 2013. "A New Linear Estimator for Gaussian Dynamic Term Structure Models," Staff Working Papers 13-10, Bank of Canada.
    5. 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.
    6. 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.
    7. 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.
    8. 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.
    9. Rafael Repullo & Javier Suarez, 2008. "The Procyclical Effects of Basel II," Working Papers wp2008_0809, CEMFI.
    10. Max Bruche, 2009. "Bankruptcy Codes, Liquidation Timing, and Debt Valuation," Working Papers wp2009_0902, CEMFI.
    11. 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.
    12. 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.
    13. 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.
    14. Joan Llull, 2008. "The Impact of Immigration on Productivity," Working Papers wp2008_0802, CEMFI.
    15. 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.
    16. 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.
    17. 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.

  39. 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.

    Cited by:

    1. 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.
    2. 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.
    3. 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.
    4. 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.
    5. Barigozzi, Matteo & Hallin, Marc, 2017. "Generalized dynamic factor models and volatilities: estimation and forecasting," Journal of Econometrics, Elsevier, vol. 201(2), pages 307-321.
    6. 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.
    7. 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.
    8. Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Working Papers ECARES 2023-15, ULB -- Universite Libre de Bruxelles.
    9. 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).
    10. 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.
    11. 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.
    12. Matteo Barigozzi & Marc Hallin, 2018. "Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals," Papers 1811.10045, arXiv.org, revised Jul 2019.
    13. 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.
    14. Enrique Sentana, 2018. "Volatility, Diversification and Contagion," Working Papers wp2018_1803, CEMFI.
    15. 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.
    16. 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.
    17. 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.
    18. 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.
    19. Calzolari, Giorgio & Halbleib, Roxana, 2018. "Estimating stable latent factor models by indirect inference," Journal of Econometrics, Elsevier, vol. 205(1), pages 280-301.
    20. 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".
    21. Giorgio Calzolari & Roxana Halbleib & Christian Mucher, 2023. "Sequential Estimation of Multivariate Factor Stochastic Volatility Models," Papers 2302.07052, arXiv.org.
    22. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests for Static Factor Models," Working Papers wp2009_0912, CEMFI.
    23. 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.
    24. 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.
    25. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
    26. 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.

  40. 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.

    Cited by:

    1. Yusuke Kamishiro & Roberto Serrano, 2009. "Equilibrium blocking in large quasilinear economies," Working Papers 2009-12, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
    2. Roberto Serrano, 2009. "On Watson's Non-Forcing Contracts and Renegotiation," Economics Bulletin, AccessEcon, vol. 29(3), pages 2350-2360.
    3. Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009. "Underidentification? (Resumen)," Working Papers wp2009_0905, CEMFI.
    4. Sentana, Enrique & Fiorentini, Gabriele, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
    5. Dante Amengual & Xinyue Bei & Marine Carrasco & Enrique Sentana, 2023. "Score-type tests for normal mixtures," CIRANO Working Papers 2023s-02, CIRANO.
    6. 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.
    7. 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.
    8. 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.
    9. Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Working Paper series 19-01, Rimini Centre for Economic Analysis.
    10. 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.
    11. 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.
    12. Javier Mencía & Enrique Sentana, 2009. "Distributional tests in multivariate dynamic models with Normal and Student t innovations," Working Papers 0929, Banco de España.
    13. Amengual, Dante & Sentana, Enrique, 2010. "A comparison of mean-variance efficiency tests," Journal of Econometrics, Elsevier, vol. 154(1), pages 16-34, January.
    14. Rafael Repullo & Javier Suarez, 2008. "The Procyclical Effects of Basel II," Working Papers wp2008_0809, CEMFI.
    15. Max Bruche, 2009. "Bankruptcy Codes, Liquidation Timing, and Debt Valuation," Working Papers wp2009_0902, CEMFI.
    16. Martín Almuzara & Dante Amengual & Enrique Sentana, 2019. "Normality tests for latent variables," Quantitative Economics, Econometric Society, vol. 10(3), pages 981-1017, July.
    17. Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," Working Paper series 18-06, Rimini Centre for Economic Analysis.
    18. Gabriele Fiorentini & Enrique Sentana, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," Working Papers wp2020_2023, CEMFI.
    19. Enrique Sentana, 2008. "The Econometrics of Mean-Variance Efficiency Tests: A Survey," Working Papers wp2008_0807, CEMFI.
    20. Neifar, Malika, 2020. "Multivariate GARCH Approaches: case of major sectorial Tunisian stock markets," MPRA Paper 99658, University Library of Munich, Germany.
    21. Joan Llull, 2008. "The Impact of Immigration on Productivity," Working Papers wp2008_0802, CEMFI.
    22. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests for Static Factor Models," Working Papers wp2009_0912, CEMFI.
    23. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.

  41. Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.

    Cited by:

    1. Abel Elizalde & Rafael Repullo, 2004. "Economic and Regulatory Capital. What Is the Difference?," Working Papers wp2004_0422, CEMFI.
    2. 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.
    3. 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.
    4. 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".
    5. Dovonon, Prosper, 2008. "Conditionally heteroskedastic factor models with skewness and leverage effects," MPRA Paper 40206, University Library of Munich, Germany, revised Feb 2012.
    6. 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.
    7. Neil Shephard & Gabriele Fiorentini & Enrique Sentana, 2003. "Likelihood-based estimation of latent generalised ARCH structures," FMG Discussion Papers dp453, Financial Markets Group.
    8. José Cerón & Javier Suarez, 2006. "Hot and Cold Housing Markets: International Evidence," Working Papers wp2006_0603, CEMFI.
    9. Broto, Carmen & Ruiz Ortega, Esther, 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 Estadística.
    10. 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.
    11. Broto, Carmen & Ruiz Ortega, Esther, 2003. "Unobserved component models with asymmetric conditional variances," DES - Working Papers. Statistics and Econometrics. WS ws032003, Universidad Carlos III de Madrid. Departamento de Estadística.
    12. 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.

  42. F. Javier Mencía & Enrique Sentana, 2004. "Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations," Working Papers wp2004_0411, CEMFI.

    Cited by:

    1. Abel Elizalde & Rafael Repullo, 2004. "Economic and Regulatory Capital. What Is the Difference?," Working Papers wp2004_0422, CEMFI.
    2. 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.
    3. Lanne, Markku & Saikkonen, Pentti, 2005. "A Multivariate Generalized Orthogonal Factor GARCH Model," MPRA Paper 23714, University Library of Munich, Germany.
    4. 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.
    5. 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).
    6. Neil Shephard & Ole E. Barndorff-Nielsen, 2012. "Basics of Levy processes," Economics Series Working Papers 610, University of Oxford, Department of Economics.
    7. 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.
    8. 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.
    9. 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.
    10. 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.
    11. 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.
    12. Lucas, André & Schwaab, Bernd & Zhang, Xin, 2013. "Conditional euro area sovereign default risk," Working Paper Series 269, Sveriges Riksbank (Central Bank of Sweden).
    13. Gonzalo, Jesús & 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 Economía.
    14. José Cerón & Javier Suarez, 2006. "Hot and Cold Housing Markets: International Evidence," Working Papers wp2006_0603, CEMFI.
    15. 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.
    16. Schwaab, Bernd & Lucas, André & Zhang, Xin, 2013. "Conditional and joint credit risk," Working Paper Series 1621, European Central Bank.
    17. Abel Elizalde, 2006. "Credit Risk Models IV: Understanding and Pricing CDOs," Working Papers wp2006_0608, CEMFI.
    18. Catania, Leopoldo & Grassi, Stefano, 2022. "Forecasting cryptocurrency volatility," International Journal of Forecasting, Elsevier, vol. 38(3), pages 878-894.
    19. 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.
    20. 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.
    21. 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.
    22. 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.
    23. 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.
    24. Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
    25. 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.

  43. Francisco Peñaranda & Enrique Sentana, 2004. "Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," Working Papers wp2004_0410, CEMFI.

    Cited by:

    1. Abel Elizalde & Rafael Repullo, 2004. "Economic and Regulatory Capital. What Is the Difference?," Working Papers wp2004_0422, CEMFI.
    2. 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.
    3. Sentana, Enrique & Peñaranda, Francisco, 2007. "Duality in Mean-Variance Frontiers with Conditioning Information," CEPR Discussion Papers 6566, C.E.P.R. Discussion Papers.
    4. 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.
    5. Antonio Diez de los Rios, 2013. "A New Linear Estimator for Gaussian Dynamic Term Structure Models," Staff Working Papers 13-10, Bank of Canada.
    6. Victor Chernozhukov & Emre Kocatulum & Konrad Menzel, 2012. "Inference on Sets in Finance," Papers 1211.4282, arXiv.org.
    7. 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.
    8. Gur Huberman & Zhenyu Wang, 2005. "Arbitrage pricing theory," Staff Reports 216, Federal Reserve Bank of New York.
    9. Nicky Grant, 2013. "Identification Robust Inference with Singular Variance," Economics Discussion Paper Series 1315, Economics, The University of Manchester.
    10. Francisco Peñaranda & Enrique Sentana, 2010. "A Unifying Approach to the Empirical Evaluation of Asset Pricing Models," Working Papers wp2010_1004, CEMFI.
    11. 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.
    12. 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.
    13. 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.
    14. José Cerón & Javier Suarez, 2006. "Hot and Cold Housing Markets: International Evidence," Working Papers wp2006_0603, CEMFI.
    15. 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.
    16. Raymond Kan & Guofu Zhou, 2001. "Tests of Mean-Variance Spanning," CEMA Working Papers 539, China Economics and Management Academy, Central University of Finance and Economics.
    17. Mayer, Walter J. & Liu, Feng & Dang, Xin, 2017. "Improving the power of the Diebold–Mariano–West test for least squares predictions," International Journal of Forecasting, Elsevier, vol. 33(3), pages 618-626.
    18. 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.
    19. 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.
    20. 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.
    21. Yoshihiko Nishiyama & Peter Robinson, 2004. "The bootstrap and the Edgeworth correction for semiparametric averaged derivatives," CeMMAP working papers 12/04, Institute for Fiscal Studies.
    22. 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).
    23. 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.
    24. David T. Frazier & Eric Renault, 2016. "Indirect Inference With(Out) Constraints," Papers 1607.06163, arXiv.org, revised Aug 2019.

  44. 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.

    Cited by:

    1. Abel Elizalde & Rafael Repullo, 2004. "Economic and Regulatory Capital. What Is the Difference?," Working Papers wp2004_0422, CEMFI.
    2. 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.
    3. 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.
    4. 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.
    5. Zavadska, Miroslava & Morales, Lucía & Coughlan, Joseph, 2020. "Brent crude oil prices volatility during major crises," Finance Research Letters, Elsevier, vol. 32(C).
    6. 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.
    7. 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.
    8. 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.
    9. Javier Mencía & Enrique Sentana, 2009. "Distributional tests in multivariate dynamic models with Normal and Student t innovations," Working Papers 0929, Banco de España.
    10. 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).
    11. 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.
    12. Martín Almuzara & Dante Amengual & Enrique Sentana, 2019. "Normality tests for latent variables," Quantitative Economics, Econometric Society, vol. 10(3), pages 981-1017, July.
    13. 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.
    14. 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.
    15. 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.
    16. 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.
    17. Christian Bontemps, 2019. "Moment-Based Tests under Parameter Uncertainty," Post-Print hal-02004687, HAL.
    18. 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.
    19. Fresoli, Diego Eduardo & Ruiz Ortega, Esther, 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 Estadística.
    20. 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.
    21. Bontemps, Christian, 2013. "Moment-Based Tests for Discrete Distributions," IDEI Working Papers 772, Institut d'Économie Industrielle (IDEI), Toulouse, revised Oct 2014.
    22. 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.
    23. 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.
    24. Raïssi, Hamdi, 2018. "Testing normality for unconditionally heteroscedastic macroeconomic variables," Economic Modelling, Elsevier, vol. 70(C), pages 140-146.

  45. 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:

    1. 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.
    2. 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.
    3. Broto, Carmen & Ruiz Ortega, Esther, 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 Estadística.

  46. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2002. "Likelihood-Based Estimation of Latent Generalised ARCH Structures," Working Papers wp2002_0204, CEMFI.

    Cited by:

    1. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
    2. 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.
    3. 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.
    4. Alain Hecq & Franz C. Palm & Sébastien Laurent, 2016. "On the Univariate Representation of BEKK Models with Common Factors," Post-Print hal-01440307, HAL.
    5. Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2015. "Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation," Working Papers wp2015_1502, CEMFI.
    6. 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.
    7. 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.
    8. Dovonon, Prosper, 2008. "Conditionally heteroskedastic factor models with skewness and leverage effects," MPRA Paper 40206, University Library of Munich, Germany, revised Feb 2012.
    9. 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.
    10. Dovonon, Prosper & Renault, Eric, 2011. "Testing for Common GARCH Factors," MPRA Paper 40224, University Library of Munich, Germany.
    11. 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.
    12. 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.
    13. Neil Shephard & Kevin Sheppard, 2009. "Realising the future: forecasting with high frequency based volatility (HEAVY) models," Economics Series Working Papers 438, University of Oxford, Department of Economics.
    14. Weber, Enzo, 2013. "Decomposing U.S. Stock Market Comovement into spillovers and common factors," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 106-118.
    15. 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.
    16. Dovonon, Prosper & Gonçalves, Sílvia, 2017. "Bootstrapping the GMM overidentification test under first-order underidentification," Journal of Econometrics, Elsevier, vol. 201(1), pages 43-71.
    17. Dungey, Mardi & Fry, Renee & Gonzalez-Hermosillo, Brenda & Martin, Vance, 2006. "Contagion in international bond markets during the Russian and the LTCM crises," Journal of Financial Stability, Elsevier, vol. 2(1), pages 1-27, April.
    18. Neil Shephard & Torben G. Andersen, 2008. "Stochastic Volatility: Origins and Overview," OFRC Working Papers Series 2008fe23, Oxford Financial Research Centre.
    19. Neil Shephard, 2013. "Martingale unobserved component models," Economics Papers 2013-W01, Economics Group, Nuffield College, University of Oxford.
    20. 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.
    21. 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.
    22. 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.
    23. Gabriele Fiorentini & Enrique Sentana, 2013. "Dynamic Specification Tests for Dynamic Factor Models," Working Papers wp2013_1306, CEMFI.
    24. M. Hashem Pesaran & Paolo Zaffaroni, 2009. "Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios," CESifo Working Paper Series 2857, CESifo.
    25. 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.
    26. Todorov, Viktor & Bollerslev, Tim, 2010. "Jumps and betas: A new framework for disentangling and estimating systematic risks," Journal of Econometrics, Elsevier, vol. 157(2), pages 220-235, August.
    27. 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.
    28. Broto, Carmen & Ruiz Ortega, Esther, 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 Estadística.
    29. 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.
    30. 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.
    31. Broto, Carmen & Ruiz Ortega, Esther, 2003. "Unobserved component models with asymmetric conditional variances," DES - Working Papers. Statistics and Econometrics. WS ws032003, Universidad Carlos III de Madrid. Departamento de Estadística.
    32. Malik, Sheheryar & Pitt, Michael K., 2011. "Particle filters for continuous likelihood evaluation and maximisation," Journal of Econometrics, Elsevier, vol. 165(2), pages 190-209.
    33. Neil Shephard, 2005. "Stochastic Volatility," Economics Papers 2005-W17, Economics Group, Nuffield College, University of Oxford.
    34. 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).
    35. 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.
    36. 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.
    37. Mardi Dungey & Eric Renault, 2018. "Identifying contagion," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(2), pages 227-250, March.
    38. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests for Static Factor Models," Working Papers wp2009_0912, CEMFI.
    39. Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
    40. Dovonon, Prosper & Hall, Alastair R. & Kleibergen, Frank, 2020. "Inference in second-order identified models," Journal of Econometrics, Elsevier, vol. 218(2), pages 346-372.
    41. 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.
    42. 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.
    43. 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.
    44. 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.
    45. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
    46. 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.
    47. 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.

  47. 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.

    Cited by:

    1. 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.
    2. Antonis Demos & Stelios Arvanitis, 2010. "Stochastic Expansions and Moment Approximations for Three Indirect Estimators," DEOS Working Papers 1004, Athens University of Economics and Business.
    3. Antonis Demos & Stelios Arvanitis, 2010. "A New Class of Indirect Estimators and Bias Correction," DEOS Working Papers 1023, Athens University of Economics and Business.
    4. 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".

  48. Enrique Sentana, 2001. "Mean-Variance Portfolio Allocation with a Value at Risk Constraint," Working Papers wp2001_0105, CEMFI.

    Cited by:

    1. 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.
    2. Cuoco, Domenico & Liu, Hong, 2006. "An analysis of VaR-based capital requirements," Journal of Financial Intermediation, Elsevier, vol. 15(3), pages 362-394, July.
    3. 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.
    4. 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.
    5. Kaplanski, Guy, 2005. "Analytical Portfolio Value-at-Risk," MPRA Paper 80216, University Library of Munich, Germany.
    6. 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).

  49. Sentana, Enrique, 2000. "Did the EMS Reduce the Cost of Capital?," CEPR Discussion Papers 2640, C.E.P.R. Discussion Papers.

    Cited by:

    1. 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.
    2. 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.
    3. Antonio Diez de los Rios, 2013. "A New Linear Estimator for Gaussian Dynamic Term Structure Models," Staff Working Papers 13-10, Bank of Canada.
    4. 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.
    5. 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.
    6. Richard Podpiera & Tomás Dvorák, 2005. "European Union Enlargement and Equity Markets in Accession Countries," IMF Working Papers 2005/182, International Monetary Fund.
    7. 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.
    8. 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.
    9. 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.
    10. Dvorak, Tomas & Podpiera, Richard, 2005. "European Union enlargement and equity markets in accession countries," Working Paper Series 552, European Central Bank.
    11. 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.
    12. 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.
    13. 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.
    14. 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.
    15. 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.
    16. 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.
    17. 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.

  50. 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-.

    Cited by:

    1. 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.
    2. 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.
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. 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.
    8. 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.
    9. Jensen, Mark J. & Maheu, John M., 2013. "Bayesian semiparametric multivariate GARCH modeling," Journal of Econometrics, Elsevier, vol. 176(1), pages 3-17.
    10. Krishnakumar, Jaya & Kabili, Andi & Roko, Ilir, 2012. "Estimation of SEM with GARCH errors," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3153-3181.
    11. Kearney, Colm & Muckley, Cal, 2008. "Can the traditional Asian US dollar peg exchange rate regime be extended to include the Japanese yen?," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 870-885, December.
    12. Sentana, Enrique & Fiorentini, Gabriele, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
    13. 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.
    14. 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.
    15. 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.
    16. Nikolaos Antonakakis & Juncal Cunado & George Filis & David Gabauer & Fernando Perez de Gracia, 2018. "Oil volatility, oil and gas firms and portfolio diversification," BAFES Working Papers BAFES18, Department of Accounting, Finance & Economic, Bournemouth University.
    17. Mensi, Walid & Al-Yahyaee, Khamis Hamed & Kang, Sang Hoon, 2019. "Structural breaks and double long memory of cryptocurrency prices: A comparative analysis from Bitcoin and Ethereum," Finance Research Letters, Elsevier, vol. 29(C), pages 222-230.
    18. Manuel A. Hernandez & Raul Ibarra & Danilo R. Trupkin, 2014. "How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 41(2), pages 301-325.
    19. Hafner, Christian M. & Wang, Linqi, 2023. "A dynamic conditional score model for the log correlation matrix," Journal of Econometrics, Elsevier, vol. 237(2).
    20. Alp, Tansel & Demetrescu, Matei, 2010. "Joint forecasts of Dow Jones stocks under general multivariate loss function," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2360-2371, November.
    21. 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.
    22. Davide Delle Monache & Ivan Petrella, 2014. "Adaptive Models and Heavy Tails," Working Papers 720, Queen Mary University of London, School of Economics and Finance.
    23. Sentana, Enrique & Amengual, Dante, 2015. "Is a normal copula the right copula?," CEPR Discussion Papers 10809, C.E.P.R. Discussion Papers.
    24. Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Working Paper series 19-01, Rimini Centre for Economic Analysis.
    25. Filis, George & Degiannakis, Stavros & Floros, Christos, 2011. "Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries," International Review of Financial Analysis, Elsevier, vol. 20(3), pages 152-164, June.
    26. Cui, Jinxin & Goh, Mark & Zou, Huiwen, 2021. "Coherence, extreme risk spillovers, and dynamic linkages between oil and China’s commodity futures markets," Energy, Elsevier, vol. 225(C).
    27. Christian Hafner & Helmut Herwartz, 2008. "Analytical quasi maximum likelihood inference in multivariate volatility models," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 67(2), pages 219-239, March.
    28. Gadea, Maria Dolores & Sabate, Marcela & Serrano, Jose Maria, 2004. "Structural breaks and their trace in the memory: Inflation rate series in the long-run," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(2), pages 117-134, April.
    29. Bernardi, Mauro & Maruotti, Antonello & Petrella, Lea, 2017. "Multiple risk measures for multivariate dynamic heavy–tailed models," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 1-32.
    30. Rossi, E. & Spazzini, F., 2010. "Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2786-2800, November.
    31. 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.
    32. 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.
    33. M. Angeles Carnero Fernández & M. Hakan Eratalay, 2012. "Estimating VAR-MGARCH models in multiple steps," Working Papers. Serie AD 2012-10, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    34. Tomasz Wozniak, 2012. "Testing Causality Between Two Vectors in Multivariate GARCH Models," Department of Economics - Working Papers Series 1139, The University of Melbourne.
    35. Mensi, Walid & Hammoudeh, Shawkat & Al-Jarrah, Idries Mohammad Wanas & Sensoy, Ahmet & Kang, Sang Hoon, 2017. "Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications," Energy Economics, Elsevier, vol. 67(C), pages 454-475.
    36. Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Precious metals, oil, and ASEAN stock markets: From global financial crisis to global health crisis," Resources Policy, Elsevier, vol. 73(C).
    37. Gardebroek, Cornelis & Hernandez, Manuel A., 2013. "Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets," Energy Economics, Elsevier, vol. 40(C), pages 119-129.
    38. de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
    39. Tomasz Wozniak, 2012. "Granger-causal analysis of VARMA-GARCH models," Economics Working Papers ECO2012/19, European University Institute.
    40. Antonakakis, Nikolaos, 2012. "Exchange return co-movements and volatility spillovers before and after the introduction of euro," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1091-1109.
    41. Tsouknidis, Dimitris A., 2016. "Dynamic volatility spillovers across shipping freight markets," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 91(C), pages 90-111.
    42. Javier Mencía & Enrique Sentana, 2009. "Distributional tests in multivariate dynamic models with Normal and Student t innovations," Working Papers 0929, Banco de España.
    43. Amengual, Dante & Sentana, Enrique, 2010. "A comparison of mean-variance efficiency tests," Journal of Econometrics, Elsevier, vol. 154(1), pages 16-34, January.
    44. Nikolaos Antonakakis, 2010. "Official Central Bank Interventions in the Foreign Exchange Markets: A DCC Approach with Exogenous Variables," Working Papers 1002, University of Strathclyde Business School, Department of Economics.
    45. Al-Yahyaee, Khamis Hamed & Mensi, Walid & Sensoy, Ahmet & Kang, Sang Hoon, 2019. "Energy, precious metals, and GCC stock markets: Is there any risk spillover?," Pacific-Basin Finance Journal, Elsevier, vol. 56(C), pages 45-70.
    46. Balaev , Alexey, 2011. "Multivariate skewed t-distribution with degrees of freedom vector and its application to financial modeling," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 23(3), pages 79-97.
    47. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2008. "Estimating and Forecasting GARCH Volatility in the Presence of Outiers," Working Papers. Serie AD 2008-13, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    48. Christian Bontemps & Nour Meddahi, 2002. "Testing Normality: A GMM Approach," CIRANO Working Papers 2002s-63, CIRANO.
    49. Natalya (Natasha) Delcoure & Harmeet Singh, 2018. "Oil and equity: too deep into each other," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(1), pages 89-111, January.
    50. Trino-Manuel Ñíguez, 2003. "Volatility And Var Forecasting For The Ibex-35 Stock-Return Index Using Figarch-Type Processes And Different Evaluation Criteria," Working Papers. Serie AD 2003-33, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    51. 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.
    52. Rainer Jobst & Daniel Rösch & Harald Scheule & Martin Schmelzle, 2015. "A Simple Econometric Approach for Modeling Stress Event Intensities," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(4), pages 300-320, April.
    53. Christian T. Brownlees & Giampiero M. Gallo, 2010. "Comparison of Volatility Measures: a Risk Management Perspective," Journal of Financial Econometrics, Oxford University Press, vol. 8(1), pages 29-56, Winter.
    54. Martín Almuzara & Dante Amengual & Enrique Sentana, 2019. "Normality tests for latent variables," Quantitative Economics, Econometric Society, vol. 10(3), pages 981-1017, July.
    55. Antonakakis, Nikolaos, 2010. "Ocial Central Bank Interventions in the Foreign Exchange Markets: A DCC Approach with Exogenous Variables," SIRE Discussion Papers 2010-07, Scottish Institute for Research in Economics (SIRE).
    56. So, Mike K.P. & Chan, Thomas W.C. & Chu, Amanda M.Y., 2022. "Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management," Journal of Econometrics, Elsevier, vol. 227(1), pages 151-167.
    57. Sania Wadud & Robert D. Durand & Marc Gronwald, 2021. "Connectedness between the Crude Oil Futures and Equity Markets during the Pre- and Post-Financialisation Eras," CESifo Working Paper Series 9202, CESifo.
    58. 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.
    59. 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.
    60. Gouriéroux, Christian & Monfort, Alain & Zakoian, Jean-Michel, 2017. "Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations," MPRA Paper 79623, University Library of Munich, Germany.
    61. Juan Pablo Domínguez H., 2007. "Cost of Equity Capital and Country Risk: An econometric analysis of the expected rate of return for four Latin American countries," Economía, Instituto de Investigaciones Económicas y Sociales (IIES). Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Mérida, Venezuela, vol. 32(23), pages 63-90, january-j.
    62. Aloui, Chaker & Hammoudeh, Shawkat & Hamida, Hela ben, 2015. "Global factors driving structural changes in the co-movement between sharia stocks and sukuk in the Gulf Cooperation Council countries," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 311-329.
    63. Tomasz Wozniak, 2015. "Granger-causal analysis of GARCH models: a Bayesian approach," Department of Economics - Working Papers Series 1194, The University of Melbourne.
    64. Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," Working Paper series 18-06, Rimini Centre for Economic Analysis.
    65. 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.
    66. Del Brio, Esther B. & Ñíguez, Trino-Manuel & Perote, Javier, 2008. "Multivariate Gram-Charlier Densities," MPRA Paper 29073, University Library of Munich, Germany.
    67. Salles, Andre Assis de & Maria Eduarda, Silva & Paulo, Teles, 2022. "Empirical Evidence of Associations and Similarities between the National Equity Markets Indexes and Crude Oil Prices in the International Market," MPRA Paper 113589, University Library of Munich, Germany.
    68. Galea, Manuel & de Castro, Mário, 2017. "Robust inference in a linear functional model with replications using the t distribution," Journal of Multivariate Analysis, Elsevier, vol. 160(C), pages 134-145.
    69. 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.
    70. 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.
    71. 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.
    72. 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).
    73. Li Wei & Ming-Chih Lee & Wan-Hsiu Cheng & Chia-Hsien Tang & Jing-Wun You, 2023. "Evaluating the Efficiency of Financial Assets as Hedges against Bitcoin Risk during the COVID-19 Pandemic," Mathematics, MDPI, vol. 11(13), pages 1-19, June.
    74. Enrique Sentana, 2008. "The Econometrics of Mean-Variance Efficiency Tests: A Survey," Working Papers wp2008_0807, CEMFI.
    75. Nadarajah Saralees, 2007. "A Truncated Bivariate t Distribution," Stochastics and Quality Control, De Gruyter, vol. 22(2), pages 303-313, January.
    76. Thiem, Christopher, 2017. "Oil price uncertainty and the business cycle: Accounting for the influences of global supply and demand within a VAR GARCH-in-mean framework," Ruhr Economic Papers 674, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    77. M. Hashem Pesaran & Bahram Pesaran, 2007. "Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution," CESifo Working Paper Series 2056, CESifo.
    78. Zouheir Mighri & Majid Ibrahim Alsaggaf, 2019. "Volatility Spillovers among the Cryptocurrency Time Series," International Journal of Economics and Financial Issues, Econjournals, vol. 9(3), pages 81-90.
    79. K. Diamantopoulos & I. Vrontos, 2010. "A Student-t Full Factor Multivariate GARCH Model," Computational Economics, Springer;Society for Computational Economics, vol. 35(1), pages 63-83, January.
    80. Sang Hoon Kang & Ron McIver & Seong-Min Yoon, 2016. "Modeling Time-Varying Correlations in Volatility Between BRICS and Commodity Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(7), pages 1698-1723, July.
    81. Kawakatsu, Hiroyuki, 2006. "Matrix exponential GARCH," Journal of Econometrics, Elsevier, vol. 134(1), pages 95-128, September.
    82. 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.
    83. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests for Static Factor Models," Working Papers wp2009_0912, CEMFI.
    84. Enzo D'Innocenzo & Alessandra Luati & Mario Mazzocchi, 2020. "A Robust Score-Driven Filter for Multivariate Time Series," Papers 2009.01517, arXiv.org, revised Aug 2022.
    85. Al-Nassar, Nassar S. & Yousaf, Imran & Makram, Beljid, 2023. "Spillovers between positively and negatively affected service sectors from the COVID-19 health crisis: Implications for portfolio management," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
    86. 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.
    87. Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
    88. 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.
    89. 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.
    90. 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.
    91. Mensi, Walid & Hammoudeh, Shawkat & Kang, Sang Hoon, 2017. "Dynamic linkages between developed and BRICS stock markets: Portfolio risk analysis," Finance Research Letters, Elsevier, vol. 21(C), pages 26-33.
    92. Parrini, Alessandro, 2012. "Indirect estimation of GARCH models with alpha-stable innovations," MPRA Paper 38544, University Library of Munich, Germany.
    93. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
    94. 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.
    95. Lanne, Markku & Saikkonen, Pentti, 2006. "Why is it so difficult to uncover the risk-return tradeoff in stock returns?," Economics Letters, Elsevier, vol. 92(1), pages 118-125, July.
    96. 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).

  51. Giorgio Calzolari & Gabriele Fiorentini & Enrique Sentana, 2000. "Constrained EMM and Indirect Inference Estimation. Versión Revisada," Working Papers wp2000_0005, CEMFI.

    Cited by:

    1. 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.

  52. Manuel Arellano & Lars P. Hansen & Enrique Sentana, 2000. "Underidentification?," Econometric Society World Congress 2000 Contributed Papers 1824, Econometric Society.

    Cited by:

    1. Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009. "Underidentification? (Resumen)," Working Papers wp2009_0905, CEMFI.
    2. 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.
    3. 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).
    4. Mette Christensen, 2007. "Heterogeneity in consumer demands and the income effect: evidence from panel data," IFS Working Papers W07/16, Institute for Fiscal Studies.
    5. 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.
    6. 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.
    7. 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.
    8. 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.
    9. 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.).
    10. 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.
    11. Lynda Khalaf & Maral Kichian, 2003. "Testing the Stability of the Canadian Phillips Curve Using Exact Methods," Staff Working Papers 03-7, Bank of Canada.

  53. Sentana, E., 2000. "Factor Representing Portfolios in Large Asset Markets," Papers 0001, Centro de Estudios Monetarios Y Financieros-.

    Cited by:

    1. 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.
    2. Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2015. "Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation," Working Papers wp2015_1502, CEMFI.
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. 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.
    8. 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.
    9. 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.
    10. 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.
    11. Sentana, Enrique, 2004. "Factor representing portfolios in large asset markets," Journal of Econometrics, Elsevier, vol. 119(2), pages 257-289, April.
    12. 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.
    13. 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).
    14. 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.
    15. Gabriele Fiorentini & Enrique Sentana, 2013. "Dynamic Specification Tests for Dynamic Factor Models," Working Papers wp2013_1306, CEMFI.
    16. Javier Mencía & Enrique Sentana, 2009. "Distributional tests in multivariate dynamic models with Normal and Student t innovations," Working Papers 0929, Banco de España.
    17. M. Hashem Pesaran & Paolo Zaffaroni, 2009. "Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios," CESifo Working Paper Series 2857, CESifo.
    18. Neil Shephard & Gabriele Fiorentini & Enrique Sentana, 2003. "Likelihood-based estimation of latent generalised ARCH structures," FMG Discussion Papers dp453, Financial Markets Group.
    19. 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.
    20. 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.
    21. Michel Normandin & Bruno Powo Fosso, 2006. "Global versus Country-Specific Shocks and International Business Cycles," Cahiers de recherche 0601, CIRPEE.
    22. 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.
    23. 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.
    24. 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.
    25. 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.
    26. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests for Static Factor Models," Working Papers wp2009_0912, CEMFI.
    27. Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
    28. 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.
    29. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.

  54. Calzolari, G. & Fiorentini, G. & Sentana, E., 2000. "Constrained EMM and Indirect Inference Estimation," Papers 0005, Centro de Estudios Monetarios Y Financieros-.

    Cited by:

    1. 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.
    2. 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.

  55. Sentana, Enrique, 1999. "Least Squares Predictions and Mean-Variance Analysis," CEPR Discussion Papers 2088, C.E.P.R. Discussion Papers.

    Cited by:

    1. Davide Pettenuzzo & Francesco Ravazzolo, 2014. "Optimal portfolio choice under decision-based model combinations," Working Paper 2014/15, Norges Bank.
    2. 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.
    3. 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.
    4. 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.
    5. Allan Timmermann & Andrew J. Patton, 2004. "Properties of Optimal Forecasts," Econometric Society 2004 North American Winter Meetings 234, Econometric Society.
    6. 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.
    7. Xavier Gerard & Ron Guido & Peter Wesselius, 2013. "Integrated alpha modelling," Journal of Asset Management, Palgrave Macmillan, vol. 14(3), pages 140-161, June.
    8. Enrique Sentana, 2008. "The Econometrics of Mean-Variance Efficiency Tests: A Survey," Working Papers wp2008_0807, CEMFI.
    9. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "PML vs minimum χ 2 : the comeback," Working Papers wp2022_2210, CEMFI.
    10. 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.

  56. Enrique Sentana, 1997. "Risk and Return in the Spanish Stock Market: Some Evidence from Individual Assets," Working Papers wp1997_9702, CEMFI.

    Cited by:

    1. 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.
    2. Sentana, Enrique, 2004. "Factor representing portfolios in large asset markets," Journal of Econometrics, Elsevier, vol. 119(2), pages 257-289, April.
    3. 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.

  57. Enrique Sentana, 1997. "The Relation Between Conditionally Heteroskedastic Factor Models and Factor GARCH Models," Working Papers wp1997_9719, CEMFI.

    Cited by:

    1. 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.
    2. 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.
    3. 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".
    4. 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.
    5. 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.
    6. 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.
    7. 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.
    8. 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.
    9. 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.
    10. 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.
    11. Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri, 2020. "A dynamic conditional approach to portfolio weights forecasting," Papers 2004.12400, arXiv.org.
    12. Neil Shephard & Gabriele Fiorentini & Enrique Sentana, 2003. "Likelihood-based estimation of latent generalised ARCH structures," FMG Discussion Papers dp453, Financial Markets Group.
    13. Enrique Sentana & Gabriele Fiorentini, 1997. "Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada," Working Papers wp1997_9709, CEMFI.
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    126. Bouakez, Hafedh & Essid, Badye & Normandin, Michel, 2013. "Stock returns and monetary policy: Are there any ties?," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 33-50.
    127. Giorgio Calzolari & Roxana Halbleib & Christian Mucher, 2023. "Sequential Estimation of Multivariate Factor Stochastic Volatility Models," Papers 2302.07052, arXiv.org.
    128. Ha Yan Lee & Luca Antonio Ricci & Roberto Rigobon, 2004. "Once Again, is Openness Good for Growth?," NBER Working Papers 10749, National Bureau of Economic Research, Inc.
    129. Roberto Rigobon & Dani Rodrik, 2005. "Rule of law, democracy, openness, and income," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 13(3), pages 533-564, July.
    130. Helmut Lütkepohl, 2012. "Identifying Structural Vector Autoregressions via Changes in Volatility," Discussion Papers of DIW Berlin 1259, DIW Berlin, German Institute for Economic Research.
    131. Gregor Kastner & Sylvia Fruhwirth-Schnatter & Hedibert Freitas Lopes, 2016. "Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models," Papers 1602.08154, arXiv.org, revised Jul 2017.
    132. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests for Static Factor Models," Working Papers wp2009_0912, CEMFI.
    133. Sarantis Tsiaplias & Chew Lian Chua, 2013. "A Multivariate GARCH Model Incorporating the Direct and Indirect Transmission of Shocks," Econometric Reviews, Taylor & Francis Journals, vol. 32(2), pages 244-271, February.
    134. Enzo Weber, 2008. "Structural Dynamic Conditional Correlation," SFB 649 Discussion Papers SFB649DP2008-069, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    135. 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.
    136. Kohonen, Anssi, 2013. "On detection of volatility spillovers in overlapping stock markets," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 140-158.
    137. Don H. Kim & Marcelo Ochoa, 2021. "International Yield Spillovers," Finance and Economics Discussion Series 2021-001, Board of Governors of the Federal Reserve System (U.S.).
    138. Arestis, Philip & Phelps, Peter, 2017. "Financial market implications of monetary policy coincidences: Evidence from the UK and Euro Area government-bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 49(C), pages 88-102.
    139. Kaila, Heidi & Sahn, David E. & Sunder, Naveen, 2018. "Early Life Determinants of Cognitive Ability: A Comparative Study on Madagascar and Senegal," IZA Discussion Papers 11550, Institute of Labor Economics (IZA).
    140. Darjus Hosszejni & Gregor Kastner, 2019. "Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol," Papers 1906.12123, arXiv.org, revised Feb 2021.
    141. Toni Gravelle & Maral Kichian & James Morley, 2002. "Detecting shift-contagion in currency and bond markets," Computing in Economics and Finance 2002 58, Society for Computational Economics.
    142. Skrobotov, Anton (Скроботов, Антон) & Turuntseva, Marina (Турунцева, Марина), 2015. "Theoretical Aspects of Modeling of the SVAR [Теоретические Аспекты Моделирования Svar]," Published Papers mak8, Russian Presidential Academy of National Economy and Public Administration.
    143. Daniel J Lewis, 2021. "Identifying Shocks via Time-Varying Volatility [First Order Autoregressive Processes and Strong Mixing]," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 88(6), pages 3086-3124.
    144. Jean-Sébastien Fontaine, 2012. "Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy," Staff Working Papers 12-41, Bank of Canada.
    145. Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
    146. Michael Hachula & Malte Rieth, 2020. "Estimating the Impact of Financial Investments on Agricultural Futures Prices using Changes in Volatility," American Journal of Agricultural Economics, John Wiley & Sons, vol. 102(3), pages 759-785, May.
    147. Michel Normandin, 2006. "The Effects of Monetary-Policy Shocks on Real Wages: A Multi-Country Investigation The Effects of Monetary-Policy Shocks on Real Wages: A Multi-Country Investigationv," Cahiers de recherche 06-04, HEC Montréal, Institut d'économie appliquée.
    148. McCausland, William & Miller, Shirley & Pelletier, Denis, 2021. "Multivariate stochastic volatility using the HESSIAN method," Econometrics and Statistics, Elsevier, vol. 17(C), pages 76-94.
    149. Stock, J.H. & Watson, M.W., 2016. "Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 415-525, Elsevier.
    150. Malefaki, Valia, 2015. "On Flexible Linear Factor Stochastic Volatility Models," MPRA Paper 62216, University Library of Munich, Germany.
    151. Todd Prono, 2006. "GARCH-based identification of triangular systems with an application to the CAPM: still living with the roll critique," Working Papers 07-1, Federal Reserve Bank of Boston.
    152. 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.
    153. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
    154. 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.
    155. 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.

  59. Ángel León & Enrique Sentana, 1997. "Pricing Options on Assets with Predictable White Noise Returns," Working Papers wp1997_9704, CEMFI.

    Cited by:

    1. Javier Mencía & Enrique Sentana, 2012. "Valuation of vix derivatives," Working Papers 1232, Banco de España.

  60. Gabriele Fiorentini & Enrique Sentana, 1996. "Conditional Means of Time Series Processes and Time Series Processes for Conditional Means," Working Papers wp1996_9617, CEMFI.

    Cited by:

    1. René Garcia & Richard Luger & Eric Renault, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," CIRANO Working Papers 2001s-01, CIRANO.
    2. Angel León & Enrique Sentana, 1997. "Pricing Options on Assets with Predictable White Noise Returns," FMG Discussion Papers dp267, Financial Markets Group.
    3. Chin, Kuo-Hsuan & Li, Xue, 2019. "Bayesian forecast combination in VAR-DSGE models," Journal of Macroeconomics, Elsevier, vol. 59(C), pages 278-298.
    4. Antonis Demos, 2002. "Moments and dynamic structure of a time-varying parameter stochastic volatility in mean model," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 345-357, June.
    5. Stelios Arvanitis & Antonis Demos, 2004. "Time Dependence and Moments of a Family of Time‐Varying Parameter Garch in Mean Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(1), pages 1-25, January.
    6. L.A. Gil-Alana & G.M. caporale, 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Econometric Society 2004 Latin American Meetings 344, Econometric Society.
    7. Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Working Paper series 19-01, Rimini Centre for Economic Analysis.
    8. 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.
    9. Alessandra Canepa, & Karanasos, Menelaos & Paraskevopoulos, Athanasios & Chini, Emilio Zanetti, 2022. "Forecasting Ination: A GARCH-in-Mean-Level Model with Time Varying Predictability," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202212, University of Turin.
    10. Bruno Feunou & Jean-Sébastien Fontaine, 2012. "Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields," Staff Working Papers 12-37, Bank of Canada.
    11. Neil Kellard & Denise Osborn & Jerry Coakley & Christian Conrad & Menelaos Karanasos, 2015. "On the Transmission of Memory in Garch-in-Mean Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 706-720, September.
    12. Meddahi, N., 2001. "An Eigenfunction Approach for Volatility Modeling," Cahiers de recherche 2001-29, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    13. Alessandra Canepa, & Menelaos G. Karanasos & Alexandros G. Paraskevopoulos,, 2019. "Second Order Time Dependent Inflation Persistence in the United States: a GARCH-in-Mean Model with Time Varying Coefficients," Department of Economics and Statistics Cognetti de Martiis. Working Papers 201911, University of Turin.
    14. Karanasos, Menelaos & Paraskevopoulos,Alexandros & Canepa, Alessandra, 2020. "Unified Theory for the Large Family of Time Varying Models with Arma Representations: One Solution Fits All," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202008, University of Turin.
    15. Menelaos Karanasos & J. Kim, "undated". "Moments of the ARMA-EGARCH Model," Discussion Papers 00/29, Department of Economics, University of York.
    16. Bruno Feunou & Jean-Sébastien Fontaine, 2014. "Bond Risk Premia and Gaussian Term Structure Models," Staff Working Papers 14-13, Bank of Canada.
    17. GARCIA, René & RENAULT, Éric, 2000. "Latent Variable Models for Stochastic Discount Factors," Cahiers de recherche 2000-01, Universite de Montreal, Departement de sciences economiques.

  61. Antonis Demos & Enrique Sentana, 1996. "An EM Algorithm for Conditionally Heteroskedastic Factor Models," Working Papers wp1996_9615, CEMFI.

    Cited by:

    1. Enrique Sentana, 1995. "Risk and Return in the Spanish Stock Market," FMG Discussion Papers dp212, Financial Markets Group.
    2. Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2015. "Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation," Working Papers wp2015_1502, CEMFI.
    3. 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.
    4. Francis X. Diebold & Jose A. Lopez, 1995. "Measuring Volatility Dynamics," NBER Technical Working Papers 0173, National Bureau of Economic Research, Inc.
    5. 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.
    6. 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.
    7. Roberto S. Mariano & Yasutomo Murasawa, 2010. "A Coincident Index, Common Factors, and Monthly Real GDP," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(1), pages 27-46, February.
    8. 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.
    9. Neil Shephard & Gabriele Fiorentini & Enrique Sentana, 2003. "Likelihood-based estimation of latent generalised ARCH structures," FMG Discussion Papers dp453, Financial Markets Group.
    10. Enrique Sentana & Gabriele Fiorentini, 1997. "Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada," Working Papers wp1997_9709, CEMFI.
    11. 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).
    12. 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.
    13. Bernardi, Mauro & Costola, Michele, 2019. "High-dimensional sparse financial networks through a regularised regression model," SAFE Working Paper Series 244, Leibniz Institute for Financial Research SAFE.
    14. Dunne, Peter G., 1999. "Size and book-to-market factors in a multivariate GARCH-in-mean asset pricing application," International Review of Financial Analysis, Elsevier, vol. 8(1), pages 35-52.
    15. Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
    16. Jon Wongswan, 2003. "Contagion: an empirical test," International Finance Discussion Papers 775, Board of Governors of the Federal Reserve System (U.S.).

  62. Antonis Demos & Enrique Sentana, 1996. "Testing for GARCH Effects: A One-Sided Approach," Working Papers wp1996_9611, CEMFI.

    Cited by:

    1. Rasmus Soendergaard Pedersen & Anders Rahbek, 2017. "Testing Garch-X Type Models," Discussion Papers 17-15, University of Copenhagen. Department of Economics.
    2. Thiele, Stephen, 2019. "Detecting underestimates of risk in VaR models," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 12-20.
    3. Fiorentini,G. & Calzolari,G. & Panattoni,L., 1995. "Analytic Derivatives and the Computation of Garch Estimates," Papers 9519, Centro de Estudios Monetarios Y Financieros-.
    4. Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2015. "Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation," Working Papers wp2015_1502, CEMFI.
    5. Antonis Demos & Enrique Sentana, 1996. "Testing for GARCH Effects: A One-Sided Approach," Working Papers wp1996_9611, CEMFI.
    6. 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.
    7. Javier Mencía & Enrique Sentana, 2012. "Valuation of vix derivatives," Working Papers 1232, Banco de España.
    8. Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti, 2009. "Survey Data as Coicident or Leading Indicators," Economics Working Papers ECO2009/19, European University Institute.
    9. Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B., 1986. "Arch models," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 49, pages 2959-3038, Elsevier.
    10. Engle, Robert F & Sheppard, Kevin K, 2001. "Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH," University of California at San Diego, Economics Working Paper Series qt5s2218dp, Department of Economics, UC San Diego.
    11. Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Working Paper series 19-01, Rimini Centre for Economic Analysis.
    12. Christian Francq & Jean-Michel Zakoïan, 2008. "A Tour in the Asymptotic Theory of GARCH Estimation," Working Papers 2008-03, Center for Research in Economics and Statistics.
    13. 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-.
    14. Zeng-Hua Lu, 2020. "Bahadur intercept with applications to one-sided testing," Statistical Papers, Springer, vol. 61(2), pages 645-658, April.
    15. Gabriele Fiorentini & Enrique Sentana, 2013. "Dynamic Specification Tests for Dynamic Factor Models," Working Papers wp2013_1306, CEMFI.
    16. Cavaliere, Giuseppe & Nielsen, Heino Bohn & Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2022. "Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models," Journal of Econometrics, Elsevier, vol. 227(1), pages 241-263.
    17. Lundbergh, Stefan & Terasvirta, Timo, 2002. "Evaluating GARCH models," Journal of Econometrics, Elsevier, vol. 110(2), pages 417-435, October.
    18. Javier Mencía & Enrique Sentana, 2009. "Distributional tests in multivariate dynamic models with Normal and Student t innovations," Working Papers 0929, Banco de España.
    19. Enrique Sentana & Gabriele Fiorentini, 1997. "Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada," Working Papers wp1997_9709, CEMFI.
    20. 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).
    21. Jean-Thomas Bernard & Jean-Marie Dufour & Ian Genest & Lynda Khalaf, 2001. "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," CIRANO Working Papers 2001s-25, CIRANO.
    22. Agosto, Arianna & Cavaliere, Giuseppe & Kristensen, Dennis & Rahbek, Anders, 2016. "Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 640-663.
    23. Jin Lee, 2000. "One-Sided Testing for ARCH Effect Using Wavelets," Econometric Society World Congress 2000 Contributed Papers 1214, Econometric Society.
    24. Hughes, Anthony W. & King, Maxwell L. & Kwek, Kian Teng, 2004. "Selecting the order of an ARCH model," Economics Letters, Elsevier, vol. 83(2), pages 269-275, May.
    25. Cecilia Frale & David Veredas, 2008. "A Monthly Volatility Index for the US Economy," Working Papers ECARES 2008-008, ULB -- Universite Libre de Bruxelles.
    26. 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.
    27. Nijman, T.E. & Palm, F.C., 1991. "Recent developments in modeling volatility in financial data," Discussion Paper 1991-68, Tilburg University, Center for Economic Research.
    28. Ricardo Cao & Alicia Heras & Angeles Saavedra, 2009. "The uncertainties about the relationships risk–return–volatility in the Spanish stock market," Computational Statistics, Springer, vol. 24(1), pages 113-126, February.
    29. Conrad, Christian & Schienle, Melanie, 2019. "Testing for an omitted multiplicative long-term component in GARCH models," Working Paper Series in Economics 121, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
    30. 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.
    31. Christian Francq & Jean-Michel Zakoïan, 2006. "Inference in GARCH when some coefficients are equal to zero," Computing in Economics and Finance 2006 64, Society for Computational Economics.
    32. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests for Static Factor Models," Working Papers wp2009_0912, CEMFI.
    33. Francq, Christian & Zakoïan, Jean-Michel, 2009. "Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 313-324.
    34. Giuseppe Cavaliere & Zeng-Hua Lu & Anders Rahbek & Yuhong Yang, 2021. "MinP Score Tests with an Inequality Constrained Parameter Space," Papers 2107.06089, arXiv.org.
    35. Calzolari, Giorgio & Fiorentini, Gabriele & Panattoni, Lorenzo, 1993. "Alternative estimators of the covariance matrix in GARCH models," MPRA Paper 24433, University Library of Munich, Germany.
    36. Hilmer, Christiana E. & Holt, Matthew T., 2000. "A Comparison Of Resampling Techniques When Parameters Are On A Boundary: The Bootstrap, Subsample Bootstrap, And Subsample Jackknife," 2000 Annual meeting, July 30-August 2, Tampa, FL 21810, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    37. Nijman, T.E. & Palm, F.C., 1991. "Recent developments in modeling volatility in financial data," Other publications TiSEM 0c1ff78c-d484-43bb-bcc3-a, Tilburg University, School of Economics and Management.
    38. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.

  63. Sentana, Enrique, 1995. "Risk and return in the Spanish stock market," LSE Research Online Documents on Economics 119179, London School of Economics and Political Science, LSE Library.

    Cited by:

    1. 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.
    2. Gonzalo Rubio & Mikel Tapia, 1998. "The liquidity premium in equity pricing under a continuous auction system," The European Journal of Finance, Taylor & Francis Journals, vol. 4(1), pages 1-28.

  64. Enrique Sentana, 1995. "Quadratic ARCH Models," Working Papers wp1995_9517, CEMFI.

    Cited by:

    1. Takaishi, Tetsuya, 2018. "Bias correction in the realized stochastic volatility model for daily volatility on the Tokyo Stock Exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 500(C), pages 139-154.
    2. Giraitis, Liudas & Leipus, Remigijus & Robinson, Peter M. & Surgailis, Donatas, 2004. "LARCH, leverage, and long memory," LSE Research Online Documents on Economics 294, London School of Economics and Political Science, LSE Library.
    3. 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.
    4. Armah, Stephen E., 2008. "Establishing the Presence of a Risk Premium in the Cocoa Futures Market: An Econometric Analysis," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6778, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    5. Laurent E. Calvet & Adlai J. Fisher, 2005. "Multifrequency News and Stock Returns," NBER Working Papers 11441, National Bureau of Economic Research, Inc.
    6. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
    7. Xekalaki, Evdokia & Degiannakis, Stavros, 2005. "Evaluating volatility forecasts in option pricing in the context of a simulated options market," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 611-629, April.
    8. Hartz, Christoph & Mittnik, Stefan & Paolella, Marc, 2006. "Accurate value-at-risk forecasting based on the normal-GARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2295-2312, December.
    9. Jonas Rothfuss & Fabio Ferreira & Simon Walther & Maxim Ulrich, 2019. "Conditional Density Estimation with Neural Networks: Best Practices and Benchmarks," Papers 1903.00954, arXiv.org, revised Apr 2019.
    10. Palandri, Alessandro, 2009. "Sequential conditional correlations: Inference and evaluation," Journal of Econometrics, Elsevier, vol. 153(2), pages 122-132, December.
    11. Alex Huang, 2013. "Value at risk estimation by quantile regression and kernel estimator," Review of Quantitative Finance and Accounting, Springer, vol. 41(2), pages 225-251, August.
    12. He, Changli & Teräsvirta, Timo, 1997. "Properties of Moments of a Family of GARCH Processes," SSE/EFI Working Paper Series in Economics and Finance 198, Stockholm School of Economics.
    13. Alberola, Ricardo, 2007. "Estimating Volatility Returns Using ARCH Models. An Empirical Case: The Spanish Energy Market," Revista Lecturas de Economía, Universidad de Antioquia, CIE, May.
    14. Yu-Hua Zeng & Shou-Lei Wang & Yu-Fei Yang, 2014. "Calibration of the Volatility in Option Pricing Using the Total Variation Regularization," Journal of Applied Mathematics, Hindawi, vol. 2014, pages 1-9, March.
    15. Antonis Demos & Enrique Sentana, 1996. "Testing for GARCH Effects: A One-Sided Approach," Working Papers wp1996_9611, CEMFI.
    16. Eric Beutner & Alexander Heinemann & Stephan Smeekes, 2019. "A General Framework for Prediction in Time Series Models," Papers 1902.01622, arXiv.org.
    17. 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.
    18. Zhao, Xin & Scarrott, Carl John & Oxley, Les & Reale, Marco, 2011. "GARCH dependence in extreme value models with Bayesian inference," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1430-1440.
    19. 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.
    20. Ding, Jing & Jiang, Lei & Liu, Xiaohui & Peng, Liang, 2023. "Nonparametric tests for market timing ability using daily mutual fund returns," Journal of Economic Dynamics and Control, Elsevier, vol. 150(C).
    21. Morales-Arias, Leonardo & Moura, Guilherme V., 2010. "A conditionally heteroskedastic global inflation model," Kiel Working Papers 1666, Kiel Institute for the World Economy (IfW Kiel).
    22. Iwaisako, Tokuo, 2002. "Does International Diversification Really Diversify Risks?," Journal of the Japanese and International Economies, Elsevier, vol. 16(1), pages 109-134, March.
    23. Islam Azzam & Jasmin Fouad, 2010. "Evaluation Of The Impact Of Day Trading On The Egyptian Stock Market," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 4(1), pages 1-21.
    24. Black, Angela J. & McMillan, David G., 2006. "Asymmetric risk premium in value and growth stocks," International Review of Financial Analysis, Elsevier, vol. 15(3), pages 237-246.
    25. Daniel Ventosa, "undated". "A proposal for a new specification for a conditionally heteroskedastic variance model: the Quadratic Moving-Average Conditional Heteroskedasticity and an application to the D. Mark-U.S. dollar Exchang," UFAE and IAE Working Papers 513.02, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
    26. Antonis Demos, 2023. "Estimation of Asymmetric Stochastic Volatility in Mean Models," DEOS Working Papers 2309, Athens University of Economics and Business.
    27. Beg, A.B.M. Rabiul Alam & Anwar, Sajid, 2012. "Sources of volatility persistence: A case study of the U.K. pound/U.S. dollar exchange rate returns," The North American Journal of Economics and Finance, Elsevier, vol. 23(2), pages 165-184.
    28. Nidhal Mgadmi & Khemaies Bougatef, 2017. "Modeling volatility of the French stock market," Economics Bulletin, AccessEcon, vol. 37(2), pages 988-998.
    29. M. Angeles Carnero, 2004. "Persistence and Kurtosis in GARCH and Stochastic Volatility Models," Journal of Financial Econometrics, Oxford University Press, vol. 2(2), pages 319-342.
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    187. Guesmi, Khaled & Saadi, Samir & Abid, Ilyes & Ftiti, Zied, 2019. "Portfolio diversification with virtual currency: Evidence from bitcoin," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 431-437.
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    195. Glen Livingston & Darfiana Nur, 2020. "Bayesian inference of smooth transition autoregressive (STAR)(k)–GARCH(l, m) models," Statistical Papers, Springer, vol. 61(6), pages 2449-2482, December.
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    199. Yoon-Jin Lee & Yongmiao Hong, 2004. "Specification Testing for Multivariate Time Series Volatility Models," Econometric Society 2004 Far Eastern Meetings 696, Econometric Society.
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    202. Kristensen Dennis & Rahbek Anders, 2009. "Asymptotics of the QMLE for Non-Linear ARCH Models," Journal of Time Series Econometrics, De Gruyter, vol. 1(1), pages 1-38, April.
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    204. Antonis Demos, 2023. "Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models," DEOS Working Papers 2303, Athens University of Economics and Business.
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    Cited by:

    1. Reichlin, Lucrezia & Doz, Catherine & Giannone, Domenico, 2006. "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," CEPR Discussion Papers 5724, C.E.P.R. Discussion Papers.
    2. Enrique Sentana, 1995. "Risk and Return in the Spanish Stock Market," FMG Discussion Papers dp212, Financial Markets Group.
    3. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests for Static Factor Models," Working Papers wp2009_0912, CEMFI.
    4. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.

  66. Theo Nijman # Enrique Sentana, 1994. "Marginalization and Contemporaneous Aggregation in Multivariate GARCH Processes," Working Papers wp1994_9419, CEMFI.

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    1. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
    2. 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.
    3. Alain Hecq & Franz C. Palm & Sébastien Laurent, 2016. "On the Univariate Representation of BEKK Models with Common Factors," Post-Print hal-01440307, HAL.
    4. Asai, Manabu & McAleer, Michael & de Veiga, Bernardo, 2008. "Portfolio single index (PSI) multivariate conditional and stochastic volatility models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 209-214.
    5. 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.
    6. Hecq, A.W. & Laurent, S.F.J.A. & Palm, F.C., 2011. "On the univariate representation of multivariate volatility models with common factors," Research Memorandum 011, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    7. Font, Begoña, 1998. "Modelización de series temporales financieras. Una recopilación," DES - Documentos de Trabajo. Estadística y Econometría. DS 3664, Universidad Carlos III de Madrid. Departamento de Estadística.
    8. Sbrana, Giacomo & Silvestrini, Andrea, 2013. "Aggregation of exponential smoothing processes with an application to portfolio risk evaluation," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1437-1450.
    9. Morana, Claudio, 2019. "Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices," Econometrics and Statistics, Elsevier, vol. 12(C), pages 42-65.
    10. Nour Meddahi & Eric Renault, 2000. "Temporal Aggregation of Volatility Models," CIRANO Working Papers 2000s-22, CIRANO.
    11. Bollerslev, T. & Ghysels, E., 1994. "Periodic Autoregressive Conditional Heteroskedasticity," Cahiers de recherche 9408, Universite de Montreal, Departement de sciences economiques.
    12. Drost, F.C. & Werker, B.J.M., 1996. "Closing the GARCH gap : Continuous time GARCH modeling," Other publications TiSEM c3d29817-403a-4ad1-9295-8, Tilburg University, School of Economics and Management.
    13. 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.
    14. Christian M. Hafner, 2004. "Temporal aggregation of multivariate GARCH processes," Econometric Society 2004 North American Winter Meetings 538, Econometric Society.
    15. Drost, Feike C & Nijman, Theo E & Werker, Bas J M, 1998. "Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 237-243, April.
    16. Andrea Silvestrini & David Veredas, 2008. "Temporal aggregation of univariate and multivariate time series models: A survey," Temi di discussione (Economic working papers) 685, Bank of Italy, Economic Research and International Relations Area.
    17. Ali Alami & Eric Renault, 2001. "Risque de modèle de volatilité," CIRANO Working Papers 2001s-06, CIRANO.
    18. 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.
    19. Peresetsky, Anatoly & Ivanter, Alexander, 2000. "Interaction of the Russian Financial Markets," Economic Change and Restructuring, Springer, vol. 33(1-2), pages 103-140.
    20. Hubrich, Kirstin, 2005. "Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?," International Journal of Forecasting, Elsevier, vol. 21(1), pages 119-136.
    21. Hafner, Christian M. & Herwartz, Helmut, 2004. "Testing for Causality in Variance using Multivariate GARCH Models," Economics Working Papers 2004-03, Christian-Albrechts-University of Kiel, Department of Economics.
    22. Marc S. Paolella, 2017. "The Univariate Collapsing Method for Portfolio Optimization," Econometrics, MDPI, vol. 5(2), pages 1-33, May.
    23. Enrique Sentana & Gabriele Fiorentini, 1997. "Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada," Working Papers wp1997_9709, CEMFI.
    24. 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).
    25. Nour Meddahi, 2002. "ARMA Representation of Two-Factor Models," CIRANO Working Papers 2002s-92, CIRANO.
    26. Jondeau, Eric, 2016. "Asymmetry in tail dependence in equity portfolios," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 351-368.
    27. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2006. "Dynamic Factor GARCH: Multivariate Volatility Forecast for a Large Number of Series," LEM Papers Series 2006/25, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    28. Giacomo Sbrana, 2012. "Aggregation and marginalization of GARCH processes: some further results," METRON, Springer;Sapienza Università di Roma, vol. 70(2), pages 165-172, August.
    29. Gibson, Heather D. & Hall, Stephen G. & Tavlas, George S., 2017. "A suggestion for constructing a large time-varying conditional covariance matrix," Economics Letters, Elsevier, vol. 156(C), pages 110-113.
    30. M, El Babsiri & Jean-Michel Zakoïan, 1997. "Contemporaneous Asymmetry in GARCH Processes," Working Papers 97-03, Center for Research in Economics and Statistics.
    31. 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.
    32. Chetverikov Viktor, 2000. "Arbitrage Possibilities in Russian Spot and Future Markets," EERC Working Paper Series 98-057e, EERC Research Network, Russia and CIS.
    33. Zaffaroni, Paolo, 2007. "Aggregation and memory of models of changing volatility," Journal of Econometrics, Elsevier, vol. 136(1), pages 237-249, January.
    34. 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).
    35. de Goeij, P. C. & Marquering, W., 2004. "Modeling the conditional covariance between stock and bond returns : A multivariate GARCH approach," Other publications TiSEM 94fe5ada-715a-4339-b94c-f, Tilburg University, School of Economics and Management.
    36. César Castro & Rebeca Jiménez-Rodríguez & Pilar Poncela & Eva Senra, 2017. "A new look at oil price pass-through into inflation: evidence from disaggregated European data," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 34(1), pages 55-82, April.
    37. Francq, Christian & Thieu, Le Quyen, 2015. "Qml inference for volatility models with covariates," MPRA Paper 63198, University Library of Munich, Germany.
    38. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests for Static Factor Models," Working Papers wp2009_0912, CEMFI.
    39. 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.
    40. Jondeau, Eric, 2015. "The dynamics of squared returns under contemporaneous aggregation of GARCH models," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 80-93.
    41. Duong Le, 2017. "Relationship between Crude Oil Prices and the U.S. Dollar Exchange Rates: Constant or Time-varying?," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(5), pages 1-6.
    42. Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
    43. Panayiotis F. Diamandis & Anastassios A. Drakos & Georgios P. Kouretas & Leonidas P. Zarangas, 2012. "Asset allocation in the Athens stock exchange: a variance sensitivity analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 17(2), pages 167-181, April.
    44. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
    45. Asai, Manabu, 2023. "Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application," Econometrics and Statistics, Elsevier, vol. 25(C), pages 23-38.
    46. 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.
    47. Eric Jondeau, 2008. "Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias," Swiss Finance Institute Research Paper Series 08-06, Swiss Finance Institute.
    48. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
    49. Komunjer, Ivana, 2001. "Consistent Estimation for Aggregated GARCH," University of California at San Diego, Economics Working Paper Series qt1fp2v3q7, Department of Economics, UC San Diego.

  67. Enrique Sentana, 1994. "The Likelihood Function of a Conditionally Heteroskedastic Factor Model with Heywood Cases," Working Papers wp1994_9420, CEMFI.

    Cited by:

    1. 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.
    2. King, Mervyn & Sentana, Enrique & Wadhwani, Sushil, 1994. "Volatility and Links between National Stock Markets," Econometrica, Econometric Society, vol. 62(4), pages 901-933, July.
    3. 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.
    4. M. Hashem Pesaran & Bahram Pesaran, 2007. "Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution," CESifo Working Paper Series 2056, CESifo.
    5. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests for Static Factor Models," Working Papers wp2009_0912, CEMFI.
    6. Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
    7. 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.

  68. Mervyn King & Enrique Sentana & Sushil Wadhwani, 1990. "Volatiltiy and Links Between National Stock Markets," NBER Working Papers 3357, National Bureau of Economic Research, Inc.

    Cited by:

    1. 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.
    2. Nathaniel Frank & Heiko Hesse, 2009. "Financial Spillovers to Emerging Markets during the Global Financial Crisis," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 59(6), pages 507-521, December.
    3. Marfatia, Hardik A., 2017. "A fresh look at integration of risks in the international stock markets: A wavelet approach," Review of Financial Economics, Elsevier, vol. 34(C), pages 33-49.
    4. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," Center for Financial Institutions Working Papers 99-08, Wharton School Center for Financial Institutions, University of Pennsylvania.
    5. 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.
    6. Bodart, Vincent & Reding, Paul, 1999. "Exchange rate regime, volatility and international correlations on bond and stock markets," Journal of International Money and Finance, Elsevier, vol. 18(1), pages 133-151, January.
    7. Nijman, T. & Sentana, E., 1993. "Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes," Papers 9312, Tilburg - Center for Economic Research.
    8. De Santis, Roberto A. & Sarno, Lucio, 2008. "Assessing the benefits of international portfolio diversification in bonds and stocks," Working Paper Series 883, European Central Bank.
    9. Peter A. Abken & Milind M. Shrikhande, 1997. "The role of currency derivatives in internationally diversified portfolios," Economic Review, Federal Reserve Bank of Atlanta, vol. 82(Q 3), pages 34-59.
    10. Karen K. Lewis, 2011. "Global Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 435-466, December.
    11. Andersen, Torben G & Sorensen, Bent E, 1996. "GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 328-352, July.
    12. Vidal-García, Javier & Vidal, Marta, 2014. "Seasonality and idiosyncratic risk in mutual fund performance," European Journal of Operational Research, Elsevier, vol. 233(3), pages 613-624.
    13. Geert Bekaert & Campbell R. Harvey, 1995. "Emerging Equity Market Volatility," NBER Working Papers 5307, National Bureau of Economic Research, Inc.
    14. Enrique Sentana, 1995. "Risk and Return in the Spanish Stock Market," FMG Discussion Papers dp212, Financial Markets Group.
    15. Masih, Abul M. M. & Masih, Rumi, 1999. "Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 251-282, August.
    16. Christian Jochum & Gebhard Kirchgässner & Mariusz Platek, 1999. "A long-run relationship between Eastern European stock markets? Cointegration and the 1997/98 crisis in emerging markets," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 135(3), pages 454-479, September.
    17. Khaled GUESMI & Salma FATTOUM, 2014. "The Relationship between Oil Price and OECD Stock Markets: A Multivariate Approach," Economics Bulletin, AccessEcon, vol. 34(1), pages 510-519.
    18. George Horia Ionescu & Ruxandra Dana Vilag, 2013. "Financial Stability And Development Of Capital Markets," Romanian Economic Business Review, Romanian-American University, vol. 8(3.1), pages 46-55, September.
    19. Gilles Dufrénot & Benjamin Keddad & Alain Sand-Zantman, 2010. "Financial spillovers from the US financial markets to the emerging markets during the subprime crisis: the example of Indian equity markets," Post-Print halshs-00952114, HAL.
    20. T. Berger & L. Pozzi, 2011. "A new model-based approach to measuring time-varying financial market integration," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 11/714, Ghent University, Faculty of Economics and Business Administration.
    21. Magdalena Vorzsak & Carmen Maria Gut, 2008. "Constraints Concerning Investment And Participation In Professional Training In The Companies From The Romanian Manufacturing Industry," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    22. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
    23. Sellin, Peter, 1998. "Monetary Policy and the Stock Market: Theory and Empirical Evidence," Working Paper Series 72, Sveriges Riksbank (Central Bank of Sweden).
    24. 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.
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Articles

  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. 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.
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
  21. 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.
  22. 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.
  23. 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.
  24. 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.
  25. León, à ngel & Mencía, 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.
  26. 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.
  27. 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.
  28. 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.
  29. 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.
  30. 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.
  31. 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:

    1. 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.
    2. Tsyplakov, Alexander, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models," MPRA Paper 25511, University Library of Munich, Germany.
    3. Sentana, Enrique & Fiorentini, Gabriele, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
    4. 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.
    5. Marco Bee, 2018. "Estimating the wrapped stable distribution via indirect inference," DEM Working Papers 2018/11, Department of Economics and Management.
    6. Laurent-Emmanuel Calvet & Veronika Czellar, 2011. "State-Observation Sampling and the Econometrics of Learning Models," Working Papers hal-00625500, HAL.
    7. Sentana, Enrique & Amengual, Dante, 2015. "Is a normal copula the right copula?," CEPR Discussion Papers 10809, C.E.P.R. Discussion Papers.
    8. 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).
    9. 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.
    10. Lynda Khalaf & Beatriz Peraza López, 2020. "Simultaneous Indirect Inference, Impulse Responses and ARMA Models," Econometrics, MDPI, vol. 8(2), pages 1-26, April.
    11. Javier Mencía & Enrique Sentana, 2009. "Distributional tests in multivariate dynamic models with Normal and Student t innovations," Working Papers 0929, Banco de España.
    12. Broto, Carmen & Ruiz Ortega, Esther, 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 Estadística.
    13. Enrique Sentana, 2018. "Volatility, Diversification and Contagion," Working Papers wp2018_1803, CEMFI.
    14. 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.
    15. 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).
    16. 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".
    17. 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.
    18. Broto, Carmen & Ruiz Ortega, Esther, 2003. "Unobserved component models with asymmetric conditional variances," DES - Working Papers. Statistics and Econometrics. WS ws032003, Universidad Carlos III de Madrid. Departamento de Estadística.
    19. 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.
    20. Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," Working Paper series 18-06, Rimini Centre for Economic Analysis.
    21. 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.
    22. 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.
    23. 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.
    24. 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.
    25. 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.
    26. Antonis Demos & Stelios Arvanitis, 2010. "Stochastic Expansions and Moment Approximations for Three Indirect Estimators," DEOS Working Papers 1004, Athens University of Economics and Business.
    27. 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.
    28. Calzolari, Giorgio & Halbleib, Roxana, 2018. "Estimating stable latent factor models by indirect inference," Journal of Econometrics, Elsevier, vol. 205(1), pages 280-301.
    29. 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.
    30. Blasques, Francisco & Duplinskiy, Artem, 2018. "Penalized indirect inference," Journal of Econometrics, Elsevier, vol. 205(1), pages 34-54.
    31. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests for Static Factor Models," Working Papers wp2009_0912, CEMFI.
    32. Antonis Demos & Stelios Arvanitis, 2010. "A New Class of Indirect Estimators and Bias Correction," DEOS Working Papers 1023, Athens University of Economics and Business.
    33. 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.
    34. David T. Frazier & Eric Renault, 2016. "Indirect Inference With(Out) Constraints," Papers 1607.06163, arXiv.org, revised Aug 2019.
    35. 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.
    36. Ramdan Dridi, 2000. "Simulated Asymptotic Least Squares Theory," STICERD - Econometrics Paper Series 396, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    37. 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.
    38. 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.
    39. 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).
    40. Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
    41. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "PML vs minimum χ 2 : the comeback," Working Papers wp2022_2210, CEMFI.
    42. 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".
    43. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.

  32. 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.
  33. 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.
  34. 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.
  35. 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.
  36. 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.
  37. Enrique Sentana, 2000. "The Likelihood Function of Conditionally Heteroskedastic Factor Models," Annals of Economics and Statistics, GENES, issue 58, pages 1-19.

    Cited by:

    1. 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.
    2. Sentana, Enrique, 2004. "Factor representing portfolios in large asset markets," Journal of Econometrics, Elsevier, vol. 119(2), pages 257-289, April.
    3. 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.
    4. 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).
    5. 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.
    6. M. Hashem Pesaran & Bahram Pesaran, 2007. "Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution," CESifo Working Paper Series 2056, CESifo.
    7. 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.
    8. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests for Static Factor Models," Working Papers wp2009_0912, CEMFI.
    9. Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
    10. 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.

  38. 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:

    1. Sentana, Enrique & Fiorentini, Gabriele, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.

  39. 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.
  40. 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.
  41. 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.
  42. 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:

    1. 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.
    2. 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.
    3. 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 Economía de la Empresa.
    4. 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.

  43. 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.
  44. 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.
  45. 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.
  46. 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.
  47. 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.
  48. 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:

    1. 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.

  49. 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:

    1. McKenzie, Michael D. & Faff, Robert W., 2005. "Modeling conditional return autocorrelation," International Review of Financial Analysis, Elsevier, vol. 14(1), pages 23-42.
    2. Alex Garivaltis, 2019. "The Laws of Motion of the Broker Call Rate in the United States," Papers 1906.00946, arXiv.org, revised Oct 2022.
    3. Cifarelli, Giulio & Paladino, Giovanna, 2010. "Oil price dynamics and speculation: A multivariate financial approach," Energy Economics, Elsevier, vol. 32(2), pages 363-372, March.
    4. 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.
    5. 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).
    6. Bronka Rzepkowski, 2002. "Heterogeneous expectations, currency options and the euro/dollar," Quantitative Finance, Taylor & Francis Journals, vol. 2(2), pages 147-157.
    7. 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.
    8. 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).
    9. 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.
    10. Angelidis Dimitrios, 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.
    11. 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.
    12. 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).
    13. 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).
    14. 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.
    15. 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.
    16. Wang, Jiang & Grossman, Sanford & Campbell, John, 1993. "Trading Volume and Serial Correlation in Stock Returns," Scholarly Articles 3128710, Harvard University Department of Economics.
    17. 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.
    18. 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.
    19. 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.
    20. 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).
    21. Dzieliński, Michał & Rieger, Marc Oliver & Talpsepp, Tõnn, 2018. "Asymmetric attention and volatility asymmetry," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 59-67.
    22. 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.
    23. Haque Mahfuzul & Hassan M. Kabir & Maroney Neal C & Sackley William H, 2004. "An Empirical Examination of Stability, Predictability, and Volatility of Middle Eastern and African Emerging Stock Markets," Review of Middle East Economics and Finance, De Gruyter, vol. 2(1), pages 18-41, April.
    24. Dimitrios Koutmos & James E. Payne, 2021. "Intertemporal asset pricing with bitcoin," Review of Quantitative Finance and Accounting, Springer, vol. 56(2), pages 619-645, February.
    25. Black, Angela J. & McMillan, David G., 2006. "Asymmetric risk premium in value and growth stocks," International Review of Financial Analysis, Elsevier, vol. 15(3), pages 237-246.
    26. Imran Riaz Malik, Attaullah Shah, 2019. "Impact of Single Stock Futures on Feedback Trading, Trading Volume and Volatility: A Modified Approach," Journal of Finance and Economics Research, Geist Science, Iqra University, Faculty of Business Administration, vol. 4(2), pages 15-29, October.
    27. Marks, Joseph M. & Nam, Kiseok, 2018. "Intertemporal risk-return tradeoff in the short-run," Economics Letters, Elsevier, vol. 172(C), pages 81-84.
    28. Shamila Jayasuriya & William Shambora & Rosemary Rossiter, 2009. "Asymmetric Volatility in Emerging and Mature Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 8(1), pages 25-43, April.
    29. Bams, Dennis & Honarvar, Iman, 2021. "VIX and liquidity premium," International Review of Financial Analysis, Elsevier, vol. 74(C).
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    Cited by:

    1. 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.
    2. Peter Christoffersen & Francis X. Diebold, 2002. "Financial Asset Returns, Market Timing, and Volatility Dynamics," CIRANO Working Papers 2002s-02, CIRANO.
    3. 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.
    4. 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.
    5. 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.
    6. 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).
    7. Nijman, T.E. & Palm, F.C., 1991. "Recent developments in modeling volatility in financial data," Discussion Paper 1991-68, Tilburg University, Center for Economic Research.
    8. 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

  1. 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.
  2. 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.
  3. 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.
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