Dante Amengual, Ph.D.
Affiliations: | 2009 | Princeton University, Princeton, NJ |
Area:
Financial Economics, EconometricsGoogle:
"Dante Amengual"Parents
Sign in to add mentor| Yacine Ait-sahalia | grad student | 2009 | Princeton | |
| (Essays on the econometrics of latent variables.) | ||||
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Publications
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| Amengual D, Sentana E. (2020) Is a Normal Copula the Right Copula Journal of Business & Economic Statistics. 38: 350-366 |
| Amengual D, Carrasco M, Sentana E. (2020) Testing distributional assumptions using a continuum of moments Journal of Econometrics. 218: 655-689 |
| Almuzara M, Amengual D, Sentana E. (2019) Normality tests for latent variables Quantitative Economics. 10: 981-1017 |
| Amengual D, Xiu D. (2017) Resolution of Policy Uncertainty and Sudden Declines in Volatility Journal of Econometrics. 203: 297-315 |
| Amengual D, Sentana E. (2016) Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference Journal of Financial Econometrics. 14: 248-252 |
| Aït-Sahalia Y, Amengual D, Manresa E. (2015) Market-based estimation of stochastic volatility models Journal of Econometrics. 187: 418-435 |
| Amengual D, Fiorentini G, Sentana E. (2013) Sequential estimation of shape parameters in multivariate dynamic models Journal of Econometrics. 177: 233-249 |
| Amengual D, Sentana E. (2010) A comparison of mean-variance efficiency tests Journal of Econometrics. 154: 16-34 |
| Amengual D, Watson MW. (2007) Consistent estimation of the number of dynamic factors in a large N and T panel Journal of Business and Economic Statistics. 25: 91-96 |