Enrique Sentana - Central Bank Research Hub

Papers by year: All | 2016 | 2015 | 2012 | 2009 | 2007

Title Other author(s)

A spectral EM algorithm for dynamic factor models

Bank of Spain Working Papers [View] (Paper: 1619, 30.09.2016)

JEL: C32, C38, C51

Fast ML estimation of dynamic bifactor models: an application to European inflation

Bank of Spain Working Papers [View] (Paper: 1525, 22.09.2015)

JEL: C32, C38, E37

Volatility-related exchange traded assets: an econometric investigation

Bank of Spain Working Papers [View] (Paper: 1510, 13.04.2015)

JEL: G13

Valuation of VIX derivatives

Bank of Spain Working Papers [View] (Paper: 1232, 24.09.2012)

Distributional tests in multivariate dynamic models with Normal and Student t innovations

Bank of Spain Working Papers [View] (Paper: 0929, 21.12.2009)

JEL: C12, C32, C52

Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation (1.129 KB)

Bank of Spain Working Papers [View] (Paper: 0909, 02.06.2009)

JEL: C32, C52, G11

Testing Uncovered Interest Parity: A Continuous-Time Approach

Bank of Canada Working papers [View] (Paper: 2007-53, 08.11.2007)

JEL: F31, G15

Parametric properties of semi-nonparametric distributions, with applications to option valuation

Bank of Spain Working Papers [View] (Paper: 0707, 27.03.2007)

JEL: G13

Papers by year: All | 2016 | 2015 | 2012 | 2009 | 2007