# 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

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

# Teaching

- Mathematics, fall 2016, 2017, 2018, 2019, 2020
- Asset pricing II, fall 2015, winter 2016, fall 2017, 2018
- 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

## Endogenous health groups and heterogeneous dynamics of the elderly

Joint with Jesús Bueren and Julio A. Crego

Forthcoming in the *Journal of Applied Econometrics*

## 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

## Notes, Comments and Contributions to Volumes

## Gaussian rank correlation and regression

Joint with Enrique Sentana and Zhanyuan Tian

*CEMFI Working Paper 2004*, revised July 2020, forthcoming in A. Chudik, C. Hsiao and A. Timmermann (eds.) Essays in Honor of M. Hashem Pesaran, Advances in Econometrics, Emerald.

## 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

## Normal but skewed?

Joint with Xinyue Bei and Enrique Sentana

CEMFI Working Paper 2104, May 2021

## 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

## Moment tests of independent components

Joint with Gabriele Fiorentini and Enrique Sentana

February 2021

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

Joint with Luca Repetto

CEMFI Working Paper 1410, December 2014

## Work in Progress

## 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

## Tests for random coefficient variation in vector autoregressive models

Joint with Gabriele Fiorentini and Enrique Sentana

## GDP Solera: the ideal vintage mix

Joint with Martín Almuzara, 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