Personal information

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

Activities

Employment (2)

Centro de Estudios Monetarios y Financieros: Madrid, ES

2015 to present | Associate Professor with Tenure
Employment
Source: Self-asserted source
Dante Amengual

Centro de Estudios Monetarios y Financieros: Madrid, ES

2009 to 2015 | Assistant Professor
Employment
Source: Self-asserted source
Dante Amengual

Education and qualifications (3)

Princeton University: Princeton, New Jersey, US

2004 to 2009 | Ph.D. in Economics
Education
Source: Self-asserted source
Dante Amengual

Centro de Estudios Monetarios y Financieros: Madrid, ES

2002 to 2004 | M.Sc. in Economics and Finance
Education
Source: Self-asserted source
Dante Amengual

Universidad de la República Uruguay: Montevideo, UY

1996 to 2002 | B.A. in Economics
Education
Source: Self-asserted source
Dante Amengual

Professional activities (8)

Universidad Catolica Uruguay: Montevideo, Montevideo, UY

2021 to present | Advisory Board Member (Economics)
Service
Source: Self-asserted source
Dante Amengual

Asociación Española de Finanzas: Madrid, Madrid, ES

2021 to present | Vice-President
Service
Source: Self-asserted source
Dante Amengual

Fundación L. Rubial: Montevideo, UY

2018 | Premio Morosoli a la cultura uruguaya
Distinction
Source: Self-asserted source
Dante Amengual

European University Institute: Florence, IT

2018 to 2018 | Fernand Braudel Senior Fellow (Economics)
Invited position
Source: Self-asserted source
Dante Amengual

Spanish Ministry of Science and Innovation: Madrid, ES

2011 | Juan de la Cierva Research Fellow
Distinction
Source: Self-asserted source
Dante Amengual

XVII Finance Forum: Madrid, ES

2009 | AEFIN-Criteria Caixa Corp prize to the best article of the conference
Distinction
Source: Self-asserted source
Dante Amengual

XVII Finance Forum: Madrid, ES

2009 | Madrid Centro Financiero prize to the best article by a sole young author
Distinction
Source: Self-asserted source
Dante Amengual

XVII Finance Forum: Madrid, ES

2009 | BME prize to the best article on derivatives
Distinction
Source: Self-asserted source
Dante Amengual

Funding (5)

Más allá de la correlación: Dependencia no lineal en los mercados financieros con aplicaciones a contagio

2018 to 2021 | Grant
Ministerio de Ciencia e Innovación (Madrid, ES)
GRANT_NUMBER:

ECO2017-89689-P

Source: Self-asserted source
Dante Amengual

Nuevas fronteras en economía financiera

2015 to 2017 | Grant
Ministerio de Ciencia e Innovación (Madrid, ES)
GRANT_NUMBER:

ECO 2014-59262

Source: Self-asserted source
Dante Amengual

Juan de la Cierva

2012 to 2014 | Grant
Ministerio de Ciencia e Innovación (Madrid, ES)
GRANT_NUMBER:

JCI 2011-10407

Source: Self-asserted source
Dante Amengual

Nuevos métodos econométricos con aplicaciones empíricas en economía de género, envejecimiento, finanzas y organización industrial

2012 to 2014 | Grant
Ministerio de Ciencia e Innovación (Madrid, ES)
GRANT_NUMBER:

ECO 2011-26342

Source: Self-asserted source
Dante Amengual

Nuevos métodos econométricos con aplicaciones empíricas a economía laboral, economía financiera y economía industrial

2009 to 2011 | Grant
Ministerio de Ciencia e Innovación (Madrid, ES)
GRANT_NUMBER:

ECO2008-00280

Source: Self-asserted source
Dante Amengual

Works (21)

Information matrix tests for multinomial logit models

Economics Letters
2025-02 | Journal article
Contributors: Dante Amengual; Gabriele Fiorentini; Enrique Sentana
Source: check_circle
Crossref

Multivariate Hermite polynomials and information matrix tests

Econometrics and Statistics
2024-02 | Journal article
Contributors: Dante Amengual; Gabriele Fiorentini; Enrique Sentana
Source: check_circle
Crossref

PML versus minimum $${\chi }^{2}$$: the comeback

SERIEs
2023-12 | Journal article
Contributors: Dante Amengual; Gabriele Fiorentini; Enrique Sentana
Source: check_circle
Crossref

Endogenous health groups and heterogeneous dynamics of the elderly

Journal of Applied Econometrics
2021 | Journal article
Source: Self-asserted source
Dante Amengual

Multivariate Hermite polynomials and information matrix tests

CEMFI, Working Paper 2103
2021 | Working paper
Source: Self-asserted source
Dante Amengual

Normal but skewed?

CEMFI, Working Paper 2104
2021 | Working paper
Source: Self-asserted source
Dante Amengual

Tests for random coefficient variation in vector autoregressive models

CEMFI, Working Paper 2108
2021 | Working paper
Source: Self-asserted source
Dante Amengual

Endogenous health groups and heterogeneous dynamics of the elderly

Journal of Applied Econometrics
2021-11 | Journal article
Contributors: Dante Amengual; Jesús Bueren; Julio A. Crego
Source: check_circle
Crossref

Moment tests of independent components

CEMFI, Working Paper 2102
2021-09 | Working paper
Source: Self-asserted source
Dante Amengual

Hypothesis tests with a repeatedly singular information matrix

CEMFI, Working Paper 2002
2020 | Working paper
Source: Self-asserted source
Dante Amengual

Testing distributional assumptions using a continuum of moments

Journal of Econometrics
2020-10 | Journal article
Source: Self-asserted source
Dante Amengual

Gaussian rank correlation and regression

CEMFI Working Paper 2004
2020-07 | Journal article
Source: Self-asserted source
Dante Amengual

Is a normal copula the right copula?

Journal of Business and Economic Statistics
2020-04 | Journal article
Source: Self-asserted source
Dante Amengual

Normality tests for latent variables

Quantitative Economics
2019-07 | Journal article
Source: Self-asserted source
Dante Amengual

Resolution of policy uncertainty and sudden declines in volatility

Journal of Econometrics
2018-04 | Journal article
Source: Self-asserted source
Dante Amengual

Market-based estimation of stochastic volatility models

Journal of Econometrics
2015-08 | Journal article
Source: Self-asserted source
Dante Amengual

Testing a large number of hypotheses in approximate factor models

CEMFI, Working Paper 1410
2014 | Working paper
Source: Self-asserted source
Dante Amengual

Sequential estimators of shape parameters in multivariate dynamic models

Journal of Econometrics
2013-12 | Journal article
Source: Self-asserted source
Dante Amengual

A comparison of mean-variance efficiency tests

Journal of Econometrics
2010-01 | Journal article
Source: Self-asserted source
Dante Amengual

The term structure of variance risk premia

CEMFI, Mimeo
2008 | Working paper
Source: Self-asserted source
Dante Amengual

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

Journal of Business and Economic Statistics
2007-01 | Journal article
Source: Self-asserted source
Dante Amengual