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Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach
Peñaranda, Francisco; Sentana, Enrique - In: Journal of econometrics 170 (2012) 2, pp. 303-325
Persistent link: https://www.econbiz.de/10010013516
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ON THE IMPACT OF FUNDAMENTALS, LIQUIDITY, AND COORDINATION ON MARKET STABILITY*
Daníelsson, Jón; Peñaranda, Francisco - In: International economic review 52 (2011) 3, pp. 621-639
Persistent link: https://www.econbiz.de/10009263565
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Conditional Means of Time Series Processes and Time Series Processes for Conditional Means
Fiorentini, Gabriele; Sentana, Enrique - In: International economic review 39 (1998) 4, pp. 1101-1118
Persistent link: https://www.econbiz.de/10007348072
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Testing for GARCH effects: A one-sided approach
Demos, Antonis; Sentana, Enrique - In: Journal of econometrics 86 (1998) 1, pp. 97-128
Persistent link: https://www.econbiz.de/10006788946
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Marginalization and contemporaneous aggregation in multivariate GARCH processes
Nijman, Theo; Sentana, Enrique - In: Journal of econometrics 71 (1996) 1-2, pp. 71-88
Persistent link: https://www.econbiz.de/10006794485
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Volatility and Links Between National Stock Markets
King, Mervyn; Sentana, Enrique; Wadhwani, Sushil - In: Econometrica : journal of the Econometric Society, an … 62 (1994) 4, pp. 901-934
Persistent link: https://www.econbiz.de/10006800429
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Likelihood-Based Estimation of Latent Generalized ARCH Structures
Fiorentini, Gabriele; Sentana, Enrique; Shephard, Neil - In: Econometrica : journal of the Econometric Society, an … 72 (2004) 5, pp. 1481-1518
Persistent link: https://www.econbiz.de/10006755901
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On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
Fiorentini, Gabriele; Sentana, Enrique; Calzolari, Giorgio - In: Economics letters 83 (2004) 3, pp. 307-312
Persistent link: https://www.econbiz.de/10006757217
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Factor representing portfolios in large asset markets
Sentana, Enrique - In: Journal of econometrics 119 (2004) 2, pp. 257-290
Persistent link: https://www.econbiz.de/10006757706
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Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation
León, Ángel; Mencía, Javier; Sentana, Enrique - In: Journal of business & economic statistics : JBES ; a … 27 (2009) 2, pp. 176-192
Persistent link: https://www.econbiz.de/10008248863