Factor Representing Portfolios in Large Asset Markets

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Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations (2009, methodology): “…empirical relevance of asymmetric deviations with time varying features, such as the ones mentioned in Appendix A. Finally, one could use the test statistics that we have derived to improve the efficiency of indirect estimators along the lines suggested by Calzolari, Fiorentini, and Sentana (2004).”
Multivariate Location-Scale Mixtures of Normals and Mean-Variance-Skewness Portfolio Allocation (2009, unknown): “In our Monte Carlo exercise, we use a trivariate experimental design borrowed from Sentana (2004), which aimed to capture some of the main features of the conditionally heteroskedastic factor model in King, Sentana, and Wadhwani (1994).”
Estimation and testing of dynamic models with generalised hyperbolic innovations (2005, unknown): “9”