Dante Amengual

Centre for Monetary and Financial Studies (CEMFI)

Casado del Alisal 5

28014 Madrid

Spain

SCHOLARLY PAPERS

2

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22

Scholarly Papers (2)

1.

Resolution of Policy Uncertainty and Sudden Declines in Volatility

Chicago Booth Research Paper No. 13-78, Fama-Miller Working Paper
Number of pages: 56 Posted: 02 Nov 2013 Last Revised: 22 Aug 2017
Dante Amengual and Dacheng Xiu
Centre for Monetary and Financial Studies (CEMFI) and University of Chicago - Booth School of Business
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Citation 23

Abstract:

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Non-Affine Derivative Pricing Models, Log Volatility Models, Quadratic Volatility Models, Downward Volatility Jumps, Variance Swaps

2.

Is a Normal Copula the Right Copula?

CEPR Discussion Paper No. DP10809
Number of pages: 86 Posted: 08 Sep 2015
Dante Amengual and Enrique Sentana
Centre for Monetary and Financial Studies (CEMFI) and Centro de Estudios Monetarios y Financieros (CEMFI)
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Citation 1
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Abstract:

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Cokurtosis, Coskewness, indirect inference, Kuhn-Tucker test, momentum strategies, non-linear dependence, short-term reversals, Supremum test, underidentified parameters