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Citations for "Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation"

by Javier Mencía & Enrique Sentana

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  1. Yusuke Kamishiro & Roberto Serrano, 2009. "Equilibrium Blocking in Large Quasilinear Economies," Working Papers 2009-12, Brown University, Department of Economics.
  2. Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009. "Underidentification?," Working Papers, CEMFI wp2009_0905, CEMFI.
  3. Enrique Sentana, 2009. "The econometrics of mean-variance efficiency tests: a survey," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 12(3), pages C65-C101, November.
  4. Roberto Serrano, 2004. "On Watson’s Non-Forcing Contracts and Renegotiation," Working Papers 2004-03, Brown University, Department of Economics.
  5. 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, Springer, Springer, vol. 76(8), pages 1105-1134, November.
  6. Roberto Serrano & Rajiv Vohra, 2009. "Multiplicity of mixed equilibria in mechanisms: A unified approach to exact and approximate implementation," Working Papers, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales 2009-08, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
  7. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests For Serial Dependence In Static, Non-Gaussian Factor Models," Working Papers, CEMFI wp2012_1211, CEMFI.
  8. Repullo, Rafael & Suarez, Javier, 2008. "The Procyclical Effects of Basel II," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6862, C.E.P.R. Discussion Papers.
  9. Kristiaan Kerstens & Amine Mounir & Amine Mounir & Ignace Van de Woestyne, 2008. "Geometric Representation of the Mean-Variance-Skewness Portfolio Frontier Based upon the Shortage Function," Working Papers, IESEG School of Management 2008-ECO-17, IESEG School of Management.
  10. Enrique Sentana & Javier Mencía, 2008. "Distributional Tests In Multivariate Dynamic Models With Normal And Student T Innovations," Working Papers, CEMFI wp2008_0804, CEMFI.
  11. Kerstens, Kristiaan & Mounir, Amine & Van de Woestyne, Ignace, 2010. "Benchmarking Mean-Variance Portfolios. Using a Shortage Function: The Choice of Direction Vector," Working Papers, Hogeschool-Universiteit Brussel, Faculteit Economie en Management 2010/01, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
  12. 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, Elsevier, vol. 17(4), pages 763-782, September.
  13. Stéphane Bonhomme & Jean-Marc Robin, 2008. "Consistent noisy independent component analysis," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP04/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  14. Gabriele Fiorentini & Enrique Sentana, 2010. "Dynamic Specification Tests for Static Factor Models," Working Paper Series, The Rimini Centre for Economic Analysis 04_10, The Rimini Centre for Economic Analysis.
  15. Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2013. "Sequential estimation of shape parameters in multivariate dynamic models," Journal of Econometrics, Elsevier, Elsevier, vol. 177(2), pages 233-249.
  16. 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.
  17. Zhu, Min, 2013. "Return distribution predictability and its implications for portfolio selection," International Review of Economics & Finance, Elsevier, Elsevier, vol. 27(C), pages 209-223.
  18. Max Bruche, 2009. "Bankruptcy Codes, Liquidation Timing, And Debt Valuation," Working Papers, CEMFI wp2009_0902, CEMFI.
  19. Alexios Ghalanos & Eduardo Rossi & Giovanni Urga, 2012. "Independent Factor Autoregressive Conditional Density Model," DEM Working Papers Series 021, University of Pavia, Department of Economics and Management.