Mencía, Javier, Sentana Iváñez, Enrique
We show that the distribution of any portfolio whose components jointly follow a location-scale mixture of normals can be characterised solely by its mean, variance and skewness. Under this...
Arellano González, Manuel, Sentana Iváñez, Enrique, Hansen, Lars Peter
We develop methods for testing the hypothesis that an econometric model is undeerindentified and inferring the nature of the failed identification. By adopting a generalized-method-of moments...
Peñaranda, Francisco, Sentana Iváñez, Enrique
We propose new spanning tests that assess if the economically meaningful cost and mean representing portfolios are shared by the initial and additional assets. We show that our proposed tests are...
León, Angel, Mencía, Javier, Sentana Iváñez, Enrique
We derive the statistical properties of the SNP densities of Gallant and Nychka (1987). We show that these densities, which are always positive, are more flexible than truncated Gram-Charlier...
Likelihood-based estimation of latent generalised arch structures (2003)
Fiorentini, Gabriele, Sentana Iváñez, Enrique, Shephard, Neil
GARCH models are commonly used as latent processes in econometrics, financial economics and macroeconomics. Yet no exact likelihood analysis of these models has been provided so far. In this paper we...
Likelihood-based estimation of latent generalised arch structures (2003)
Fiorentini, Gabriele, Sentana Iváñez, Enrique, Shephard, Neil
GARCH models are commonly used as latent processes in econometrics, financial economics and macroeconomics. Yet no exact likelihood analysis of these models has been provided so far. In this paper we...
Fiorentini, Gabriele, Sentana Iváñez, Enrique, Calzolari, Giorgio
We provide numerically reliable analytical expressions for the score of conditionally heteroskedastic dynamic regression models when the conditional distribution is multivariate $t$. We also derive...
Constrained emm and indirect inference estimation (2000)
Calzolari, Giorgio, Fiorentini, Gabriele, Sentana Iváñez, Enrique
We develop generalised indirect inference procedures that handle equality and inequality constraints on the auxiliary model parameters. We obtain expressions for the optimal weighting matrices, and...
Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market (1998)
Sánchez-Torres, Pedro-Luis, Sentana Iváñez, Enrique
El objetivo de este trabajo es analizar si el modelo de valoración de activos 3MCAPM, que considera la covarianza y cosimetría de un activo con la cartera de mercado como factores explicativo de...
Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market (1998)
Sánchez-Torres, Pedro-Luis, Sentana Iváñez, Enrique
El objetivo de este trabajo es analizar si el modelo de valoración de activos 3MCAPM, que considera la covarianza y cosimetría de un activo con la cartera de mercado como factores explicativo de...