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C E M F I
Casado del Alisal 5
28014 Madrid - Spain
Phone: +34 914 290 551
Fax: +34 914 291 056
E-mail: amengual@cemfi.es

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DOCTORAL STUDIES

Ph.D. in Economics, Princeton University, 2009


TEACHING

Mathematics, Fall 2016, 2017
Introductory mathematics, Summer 2015
Asset pricing II, Fall 2015
Risk management, Winter 2010, 2012, 2013, 2014, 2015
Asset pricing I, Spring 2011, 2012
Times series econometrics, Spring 2013


CURRENT RESEARCH

Asset pricing: Risk-management, Predictability of stock returns, Mean-variance analysis
Financial econometrics: Volatility modeling, Financial derivatives
Econometrics: Approximate factor models, Time series


CURRICULUM VITAE

[PDF]


PUBLICATIONS

Papers

Market-based estimation of stochastic volatility models, with Yacine Aït-Sahalia and Elena Manresa, Journal of Econometrics, 187 (2), pp. 418-435, August 2015 (Supplemental material)

Sequential estimators of shape parameters in multivariate dynamic models, with Gabriele Fiorentini and Enrique Sentana, Journal of Econometrics, 177 (2), pp. 233-249, December 2013 (Supplemental material)

A comparison of mean-variance efficiency tests, with Enrique Sentana, Journal of Econometrics, 154 (1), pp. 16-34, January 2010 (Supplemental material)

Consistent estimation of the number of dynamic factors in a large N and T panel, with Mark W. Watson, Journal of Business and Economic Statistics, 25 (1), pp. 91-96, January 2007 (Supplemental material)

Comments

Comments on "Reflections on the probability space induced by moment conditions with implications for Bayesian inference", by A.R. Gallant, with Enrique Sentana, Journal of Financial Econometrics, 14 (2), pp. 248–252, Spring 2016


PAPERS AND WORK IN PROGRESS

Testing distributional assumptions with a continuum of moment conditions, with Marine Carrasco and Enrique Sentana

Normality tests for latent variables, with Tincho Almuzara and Enrique Sentana

Testing a large number of hypotheses in approximate factor models, with Luca Repetto, CEMFI Working Paper 1410, December 2014

Resolution of policy uncertainty and sudden declines in volatility, with Dacheng Xiu, July 2015, revised August 2017

Is a normal copula the right copula?, with Enrique Sentana, CEMFI Working Paper 1504, revised April 2016

Inference in multivariate dynamic models with elliptical innovations, with Enrique Sentana

Endogenous health groups and heterogeneous dynamics of the elderly, with Jesús Bueren and Julio A. Crego

Testing for structural breaks in approximate factor models, with Guillermo P. Tellechea


OLD WORK

The Term Structure of Variance Risk Premia (2008)



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