Dante Amengual

Ph. D. in Economics, Princeton University, 2009
Associate Professor

Personal details


Time series econometrics, Risk management, Asset pricing I

Research interests

Financial volatility, asset pricing, risk management, factor analysis, time-series econometrics

Selected publications

  • “Resolution of Policy Uncertainty and Sudden Declines in Volatility,” with Dacheng Xiu, Journal of Econometrics, 203 (2018), 297-315.
  • “Market-Based Estimation of Stochastic Volatility Models,” with Y. Aït-Sahalia and E. Manresa, Journal of Econometrics, 187 (2015), 418-435.
  • “Sequential Estimators of Shape Parameters in Multivariate Dynamic Models,” with G. Fiorentini and E. Sentana, Journal of Econometrics, 177 (2013), 233-249.
  • “A Comparison of Mean-Variance Efficiency Tests,” with E. Sentana, Journal of Econometrics, 154 (2010) 16-34.
  • “Consistent Estimation of the Number of Dynamic Factors in a Large N and T Panel,” with M. Watson, Journal of Business and Economic Statistics, 25 (2007), 91-96.


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