Enrique Sentana
An index of co-movements in financial time series- Did the EMS reduce the cost of capital?
- Factor representing portfolios in large asset markets
- Factor representing portfolios in large asset markets
- Feedback traders and stock return autocorrelations
- Has the EMS reduced the cost of capital
- Identification of multivariate conditionally heteroskedastic factor models
- Identification of multivariate conditionally heteroskedastic factor models
- Least squares predictions and mean-variance analysis
- Quadratic arch models
- Risk and return in the Spanish stock market