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Risk and return in the Spanish stock market : some evidence from individual assets

Sentana, Enrique - In: Investigaciones económicas 21 (1997) 2, pp. 297-359

Persistent link: https://www.econbiz.de/10001234518

Quadratic ARCH models

Sentana, Enrique - In: The review of economic studies 62 (1995) 4, pp. 639-661

Persistent link: https://www.econbiz.de/10001189784

An EM algorithm for conditionally heteroscedastic factor models

Dēmos, Antōnēs A. - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 3, pp. 357-361

Persistent link: https://www.econbiz.de/10001246504

Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation

Fiorentini, Gabriele; Galesi, Alessandro; Sentana, Enrique - In: Dynamic factor models, (pp. 215-282). 2016

We generalise the spectral EM algorithm for dynamic factor models in Fiorentini, Galesi, and Sentana (2014) to bifactor models with pervasive global factors complemented by regional ones. We exploit the sparsity of the loading matrices so that researchers can estimate those models by maximum...

Persistent link: https://www.econbiz.de/10015365840