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Volatility, diversification and contagion
Sentana, Enrique - 2018
Persistent link: https://www.econbiz.de/10011900148
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A comparison of meanvariance efficiency tests
Amengual, Dante; Sentana, Enrique - In: Journal of econometrics 154 (2010) 1, pp. 16-34
Persistent link: https://www.econbiz.de/10003931734
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Sequential estimation of shape parameters in multivariate dynamic models
Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique - In: Journal of econometrics 177 (2013) 2, pp. 233-249
Persistent link: https://www.econbiz.de/10010254873
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Testing for GARCH effects : a one-sided approach
Dēmos, Antōnēs A. - In: Journal of econometrics 86 (1998) 1, pp. 97-127
Persistent link: https://www.econbiz.de/10001243865
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Marginalization and contemporaneous aggregation in multivariate GARCH processes
Nijman, Theodore E. - In: Journal of econometrics 71 (1996) 1, pp. 71-87
Persistent link: https://www.econbiz.de/10001194742
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New testing approaches for mean-variance predictability
Fiorentini, Gabriele; Sentana, Enrique - In: Journal of econometrics 222 (2021) 1,2, pp. 516-538
Persistent link: https://www.econbiz.de/10012619733
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Consistent non-Gaussian pseudo maximum likelihood estimators
Fiorentini, Gabriele; Sentana, Enrique - In: Journal of econometrics 213 (2019) 2, pp. 321-358
Persistent link: https://www.econbiz.de/10012304560
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Specification tests for non-Gaussian maximum likelihood estimators
Sentana, Enrique; Fiorentini, Gabriele - 2018
Persistent link: https://www.econbiz.de/10011916573
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Consistent non-Gaussian pseudo maximum likelihood estimators
Fiorentini, Gabriele; Sentana, Enrique - 2018
Persistent link: https://www.econbiz.de/10011884227
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Empirical evaluation of overspecified asset pricing models
Manresa, Elena; Peñaranda, Francisco; Sentana, Enrique - 2017
Persistent link: https://www.econbiz.de/10011708502