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TESTS FOR SERIAL DEPENDENCE IN STATIC, NON-GAUSSIAN FACTOR MODELS

Fiorentini, Gabriele; Sentana, Enrique - Centro de Estudios Monetarios y Financieros (CEMFI) - 2012

We derive simple algebraic expressions for score tests of serial correlation in the levels and squares of common and idiosyncratic factors in static factor models with (semi) parametrically specified elliptical distributions even though one must generally compute the likelihood by simulation. We...

Persistent link: https://www.econbiz.de/10010607479

Normal but skewed?

Amengual, Dante; Bei, Xinye; Sentana, Enrique - 2021

the supremum of the univariate skewness coefficient test over all linear combinations of the variables. We can simulate …

Persistent link: https://www.econbiz.de/10012621162

Moment tests of independent components

Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique - In: SERIEs - Journal of the Spanish Economic Association 13 (2022) 1, pp. 429-474

-Gaussian shocks that check the normality of a single shock and the potential cross-sectional dependence among several of them. Our …

Persistent link: https://www.econbiz.de/10014496112

Normal but skewed?

Amengual, Dante; Bei, Xinye; Sentana, Enrique - 2021

the supremum of the univariate skewness coefficient test over all linear combinations of the variables. We can simulate …

Persistent link: https://www.econbiz.de/10012544471

Moment tests of independent components

Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique - In: SERIEs : Journal of the Spanish Economic Association 13 (2022) 1, pp. 429-474

-Gaussian shocks that check the normality of a single shock and the potential cross-sectional dependence among several of them. Our …

Persistent link: https://www.econbiz.de/10013326911

ESTIMATION AND TESTING OF DYNAMIC MODELS WITH GENERALISED HYPERBOLIC INNOVATIONS

Mencía, Francisco Javier; Sentana, Enrique - Centro de Estudios Monetarios y Financieros (CEMFI) - 2004

null hypotheses of multivariate normal and Student t innovations, and decompose them into skewness and kurtosis components …

Persistent link: https://www.econbiz.de/10005827087

Estimation and testing of dynamic models with generalised hyperbolic innovations

Mencia, Javier F.; Sentana, Enrique - London School of Economics (LSE) - 2004

null hypotheses of multivariate normal and Student t innovations, and decompose them into skewness and kurtosis components …

Persistent link: https://www.econbiz.de/10010884659

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

León, Angel M.; Mencía González, Javier; Sentana, Enrique - 2007

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 expansions with positivity restrictions. We use the SNP densities for financial derivatives valuation....

Persistent link: https://www.econbiz.de/10012530160

Distributional tests in multivariate dynamic models with normal and student t innovations

Mencía González, Javier; Sentana, Enrique - 2010

corresponding Lagrange Multiplier-type tests into skewness and kurtosis components, from which we obtain more powerful one …

Persistent link: https://www.econbiz.de/10012530297

DISTRIBUTIONAL TESTS IN MULTIVARIATE DYNAMIC MODELS WITH NORMAL AND STUDENT T INNOVATIONS

Sentana, Enrique; Mencía, Javier - Centro de Estudios Monetarios y Financieros (CEMFI) - 2008

Multiplier-type tests into skewness and kurtosis components, from which we obtain more powerful one-sided Kuhn-Tucker versions …

Persistent link: https://www.econbiz.de/10008518040