Zobrazeno 1 - 10
of 109
pro vyhledávání: '"Enrique Sentana"'
Publikováno v:
Revista de Estudios Andaluces, Vol 4, Iss 1, Pp 117-146 (1985)
Externí odkaz:
https://doaj.org/article/e65d731f33bf4cbd8a05770c1fd40bff
Publikováno v:
Journal of Financial Economics. 147:338-351
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0df529e90acc3387834d519331f8e0ac
https://doi.org/10.1016/j.jfineco.2022.10.002
https://doi.org/10.1016/j.jfineco.2022.10.002
Publikováno v:
Journal of Applied Econometrics. 37:1295-1313
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::30d5ecab0c0bb67d9bfb837124eedf8d
https://doi.org/10.1002/jae.2927
https://doi.org/10.1002/jae.2927
Publikováno v:
Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications ISBN: 9781837532131
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::dcdb573179ad4b6fe944b851d99445a1
https://doi.org/10.1108/s0731-90532023000045b001
https://doi.org/10.1108/s0731-90532023000045b001
Testing normality against discrete normal mixtures is complex because some parameters turn increasingly underidentified along alternative ways of approaching the null, others are inequality constrained, and several higher-order derivatives become ide
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3906450344d5873635fc1a52a3b93adf
https://doi.org/10.54932/uxsg1990
https://doi.org/10.54932/uxsg1990
Autor:
Gabriele Fiorentini, Enrique Sentana
Publikováno v:
Journal of Econometrics.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::394e07543d5c11b5d8a2c84e93e33975
https://doi.org/10.1016/j.jeconom.2022.02.010
https://doi.org/10.1016/j.jeconom.2022.02.010
Autor:
Enrique Sentana, Gabriele Fiorentini
Publikováno v:
Journal of Econometrics. 222:516-538
We propose tests for smooth but persistent serial correlation in risk premia and volatilities that exploit the non-normality of financial returns. Our parametric tests are robust to distributional misspecification, while our semiparametric tests are
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e056b5572411702983954e4c7a7601b6
https://doi.org/10.1016/j.jeconom.2020.07.014
https://doi.org/10.1016/j.jeconom.2020.07.014
Autor:
Gabriele Fiorentini, Enrique Sentana
Publikováno v:
Quantitative Economics. 12:683-742
We propose generalized DWH specification tests which simultaneously compare three or more likelihood‐based estimators in multivariate conditionally heteroskedastic dynamic regression models. Our tests are useful for Garch models and in many empiric
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::404652b4dfef5be2832bcc3bd42489eb
https://doi.org/10.3982/qe1406
https://doi.org/10.3982/qe1406
Publikováno v:
Journal of Econometrics. 218:655-689
We propose specification tests for parametric distributions that compare the potentially complex theoretical and empirical characteristic functions using the continuum of moment conditions analogue to an overidentifying restrictions test, which takes
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5fd8629092f8266ec5a34e0418ad0eb3
https://doi.org/10.1016/j.jeconom.2020.04.033
https://doi.org/10.1016/j.jeconom.2020.04.033