Dante Amengual

Centre for Monetary and Financial Studies (CEMFI)

Casado del Alisal 5

28014 Madrid

Spain

SCHOLARLY PAPERS

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Scholarly Papers (2)

1.

Hypothesis Tests with a Repeatedly Singular Information Matrix

CEPR Discussion Paper No. DP14415
Number of pages: 70 Posted: 03 Mar 2020
Dante Amengual, Xinyue Bei and Enrique Sentana
Centre for Monetary and Financial Studies (CEMFI), Duke University and Centro de Estudios Monetarios y Financieros (CEMFI)
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Abstract:

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Generalized extremum tests, Higher-order identifiability, Likelihood ratio test, Non-Gaussian copulas, Predictive regressions, Skew normal distributions

2.

Gaussian Rank Correlation and Regression

CEPR Discussion Paper No. DP14914
Number of pages: 57 Posted: 29 Jun 2020
Dante Amengual, Enrique Sentana and Zhanyuan Tian
Centre for Monetary and Financial Studies (CEMFI), Centro de Estudios Monetarios y Financieros (CEMFI) and Boston University
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Abstract:

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Copula, Growth regressions, migration, Misspecification, Momentum, robustness, Short-term reversals