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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, 2018
Introductory mathematics, summer 2015
Asset pricing II, fall 2015, winter 2016, fall 2017, 2018
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

Is a normal copula the right copula?, with Enrique Sentana, forthcoming in the Journal of Business and Economic Statistics

Resolution of policy uncertainty and sudden declines in volatility, with Dacheng Xiu, Journal of Econometrics, 203 (2), pp. 297–315, April 2018 (Supplemental material)

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


WORKING PAPERS AND WORK IN PROGRESS

Normality tests for latent variables, with Tincho Almuzara and Enrique Sentana, CEMFI Working Paper 1708, revised October 2018

Endogenous health groups and heterogeneous dynamics of the elderly, with Jesús Bueren and Julio A. Crego, September 2018

Testing distributional assumptions using a continuum of moments, with Marine Carrasco and Enrique Sentana, CEMFI Working Paper 1709, revised June 2018

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

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

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

Financial contagion in the eurozone, with Enrique Sentana

Gaussian rank correlation and regression, with Enrique Sentana and Zhanyuan Tian


OLD WORK

The Term Structure of Variance Risk Premia (2008)



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