# About

Dante Amengual is Associate Professor of Economics at CEMFI in Madrid, Spain. He earned his PhD in economics from Princeton University in 2009 after completing a degree in Economics at the Universidad de la República in Montevideo, Uruguay, and obtaining a diploma on graduate studies at CEMFI. His research interests include time series econometrics and asset pricing.

# Current Research

- Time Series Econometrics, Macroeconometrics, Approximate factor models
- Asset pricing, Financial Econometrics

# Teaching

- Mathematics, fall 2016, 2017, 2018, 2019, 2020, 2021, 2022
- Asset pricing II, fall 2015, winter 2016, fall 2017, 2018, winter 2022
- Asset pricing I, spring 2011, 2012
- Introductory mathematics, summer 2015
- Risk management, winter 2010, 2012, 2013, 2014, 2015
- Times series econometrics, spring 2013, 2020, 2021

# Publications

## Papers

## Normal but skewed?

Joint with Xinyue Bei and Enrique Sentana

Forthcoming in the *Journal of Applied Econometrics*

## Moment tests of independent components

Joint with Gabriele Fiorentini and Enrique Sentana

*SERIEs*, 13 (1-2), pp. 429-474, May 2022

## Endogenous health groups and heterogeneous dynamics of the elderly

Joint with Jesús Bueren and Julio A. Crego

*Journal of Applied Econometrics*, 36 (7), pp. 878-897, November 2021

## Testing distributional assumptions using a continuum of moments

Joint with Marine Carrasco and Enrique Sentana

*Journal of Econometrics*, 218 (2), pp. 655-689, October 2020

## Is a normal copula the right copula?

Joint with Enrique Sentana

*Journal of Business and Economic Statistics*, 38 (2), pp. 350-366, April 2020

## Normality tests for latent variables

Joint with Martín Almuzara and Enrique Sentana

*Quantitative Economics*, 10 (3), pp. 981-1017, July 2019

## Resolution of policy uncertainty and sudden declines in volatility

Joint with Dacheng Xiu

*Journal of Econometrics*, 203 (2), pp. 297–315, April 2018

## Market-based estimation of stochastic volatility models

Joint with Yacine Aït-Sahalia and Elena Manresa

*Journal of Econometrics*, 187 (2), pp. 418-435, August 2015

## Sequential estimators of shape parameters in multivariate dynamic models

Joint with Gabriele Fiorentini and Enrique Sentana

*Journal of Econometrics*, 177 (2), pp. 233-249, December 2013

## A comparison of mean-variance efficiency tests

Joint with Enrique Sentana

*Journal of Econometrics*, 154 (1), pp. 16-34, January 2010

## Consistent estimation of the number of dynamic factors in a large *N* and *T* panel

Joint with Mark W. Watson

*Journal of Business and Economic Statistics*, 25 (1), pp. 91-96, January 2007

## Comments and Contributions to Volumes

## Tests for random coefficient variation in vector autoregressive models

Joint with Gabriele Fiorentini and Enrique Sentana

In J.J. Dolado, L. Gambetti and C. Matthes (eds.) Essays in honour of Fabio Canova, Advances in Econometrics 44B, pp. 1-35, Emerald 2022

## Gaussian rank correlation and regression

Joint with Enrique Sentana and Zhanyuan Tian

In A. Chudik, C. Hsiao and A. Timmermann (eds.) Essays in honor of M. Hashem Pesaran: Panel Modeling, Micro Applications and Econometric Methodology, Advances in Econometrics 43B, pp. 269-306, Emerald 2022

## Comments on "Reflections on the probability space induced by moment conditions with implications for Bayesian inference" by A.R. Gallant

Joint with Enrique Sentana

*Journal of Financial Econometrics*, 14 (2), pp. 248–252, Spring 2016

# Working Papers and Work in Progress

## Working Papers

## GDP Solera: the ideal vintage mix

Joint with Martín Almuzara, Gabriele Fiorentini and Enrique Sentana

CEMFI Working Paper 2204, April 2022

## Multivariate Hermite polynomials and information matrix tests

Joint with Gabriele Fiorentini and Enrique Sentana

CEMFI Working Paper 2103, May 2021

## Hypothesis tests with a repeatedly singular information matrix

Joint with Xinyue Bei and Enrique Sentana

March 2021

## Testing a large number of hypotheses in approximate factor models

Joint with Luca Repetto

CEMFI Working Paper 1410, December 2014

## Work in Progress

## Score-type tests for normal mixture models

Joint with Xinyue Bei, Marine Carrasco and Enrique Sentana

## On seasonal serial correlation tests

Joint with Xinyue Bei and Enrique Sentana

## Specification tests for non-Gaussian structural vector autoregressions

Joint with Gabriele Fiorentini and Enrique Sentana

## The Life Cycle Implications of Healthy Habits

Joint with Jesús Bueren and Josep Pijoan-Mas

## Information matrix tests for Gaussian mixtures

Joint with Gabriele Fiorentini and Enrique Sentana

## Financial contagion in the eurozone

Joint with Julio A. Crego and Enrique Sentana

## Testing for structural breaks in approximate factor models

Joint with Alexander Heinemann

## Inference in multivariate dynamic models with elliptical innovations

Joint with Enrique Sentana