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Details about Enrique Sentana

E-mail:
Homepage:http://www.cemfi.es/~sentana
Phone:+ 34 91 429 05 51
Postal address:CEMFI, Casado del Alisal 5, 28014 Madrid, Spain
Workplace:Centro de Estudios Monetarios y Financieros (CEMFI) (Center for Monetary and Financial Studies), (more information at EDIRC)
Centre for Economic Policy Research (CEPR), (more information at EDIRC)
Financial Markets Group (FMG), London School of Economics (LSE), (more information at EDIRC)

Access statistics for papers by Enrique Sentana.

Last updated 2017-06-06. Update your information in the RePEc Author Service.

Short-id: pse39


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Working Papers

2016

  1. A spectral EM algorithm for dynamic factor models
    Working Papers, Banco de España Downloads View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) Downloads View citations (5)
    Working Papers, CEMFI (2014) Downloads View citations (1)

2015

  1. Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation
    Working Papers, CEMFI Downloads
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) Downloads
    Working Papers, Banco de España (2015) Downloads
  2. Finite Underidentification
    Working Papers, CEMFI Downloads
  3. Is a Normal Copula the Right Copula?
    Working Papers, CEMFI Downloads
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) Downloads
  4. Volatility-Related Exchange Traded Assets: An Econometric Investigation
    Working Papers, CEMFI Downloads View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) Downloads

2014

  1. Neglected Serial Correlation Tests in UCARIMA Models
    Working Papers, CEMFI Downloads View citations (2)
    See also Journal Article in SERIEs: Journal of the Spanish Economic Association (2016)

2013

  1. Dynamic Specification Tests for Dynamic Factor Models
    Working Papers, CEMFI Downloads View citations (2)

2012

  1. Sequential Estimation of Shape Parameters in Multivariate Dynamic Models
    Working Papers, CEMFI Downloads View citations (3)
    See also Journal Article in Journal of Econometrics (2013)
  2. Tests for Serial Dependence in Static, Non-Gaussian Factor Models
    Working Papers, CEMFI Downloads
  3. Valuation of vix derivatives
    Working Papers, Banco de España Downloads View citations (2)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) Downloads
    Working Papers, CEMFI (2009) Downloads

    See also Journal Article in Journal of Financial Economics (2013)

2010

  1. A Unifying Approach to the Empirical Evaluation of Asset Pricing Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    Also in Working Papers, Barcelona Graduate School of Economics (2010) Downloads View citations (1)
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2010) Downloads View citations (1)
    Working Papers, CEMFI (2010) Downloads View citations (1)

    See also Journal Article in The Review of Economics and Statistics (2015)
  2. Dynamic Specification Tests for Static Factor Models
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads
    Also in Working Papers, CEMFI (2009) Downloads View citations (3)
  3. Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (7)
    Also in FMG Discussion Papers, Financial Markets Group (2004) Downloads View citations (2)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2012)

2009

  1. Distributional tests in multivariate dynamic models with Normal and Student t innovations
    Working Papers, Banco de España Downloads View citations (12)
    See also Journal Article in The Review of Economics and Statistics (2012)
  2. Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
    Working Papers, Banco de España Downloads View citations (27)
    See also Journal Article in Journal of Econometrics (2009)
  3. Underidentification?
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads View citations (8)

    See also Journal Article in Journal of Econometrics (2012)
  4. Underidentification? (Resumen)
    Working Papers, CEMFI Downloads View citations (7)

2007

  1. Duality in Mean-Variance Frontiers with Conditioning Information
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2007) Downloads

    See also Journal Article in Journal of Empirical Finance (2016)
  2. Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads
    See also Journal Article in Journal of Econometrics (2008)
  3. On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads View citations (1)
  4. Parametric properties of semi-nonparametric distributions, with applications to option valuation
    Working Papers, Banco de España Downloads View citations (10)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) Downloads View citations (1)

    See also Journal Article in Journal of Business & Economic Statistics (2009)
  5. Testing Uncovered Interest Parity: A Continuous-Time Approach
    Staff Working Papers, Bank of Canada Downloads View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) Downloads View citations (1)

    See also Journal Article in International Economic Review (2011)

2005

  1. Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (6)
    Also in FMG Discussion Papers, Financial Markets Group (2004) Downloads View citations (13)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2004) Downloads View citations (1)

2004

  1. Likelihood-based estimation of latent generalised ARCH structures
    OFRC Working Papers Series, Oxford Financial Research Centre Downloads View citations (31)
    Also in FMG Discussion Papers, Financial Markets Group (2003) Downloads View citations (3)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) Downloads
    Economics Papers, Economics Group, Nuffield College, University of Oxford (2002) Downloads
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) (2003) Downloads View citations (2)

    See also Journal Article in Econometrica (2004)

2001

  1. Constrained Indirect Inference Estimation
    FMG Discussion Papers, Financial Markets Group Downloads View citations (2)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2001) Downloads
  2. Mean Variance Portfolio Allocation with a Value at Risk Constraint
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
    Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (2001)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2001) Downloads
    FMG Discussion Papers, Financial Markets Group (2001) Downloads

2000

  1. CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads View citations (2)
    Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (2000) View citations (2)
  2. Did the EMS Reduce the Cost of Capital?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
    See also Journal Article in Economic Journal (2002)
  3. Factor Representing Portfolios in Large Asset Markets
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (8)
    See also Journal Article in Journal of Econometrics (2004)
  4. THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads View citations (2)
  5. The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (6)

1999

  1. Least Squares Predictions and Mean-Variance Analysis
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in FMG Discussion Papers, Financial Markets Group (1999) Downloads
    Working Papers, Centro de Estudios Monetarios Y Financieros- (1997) View citations (3)

    See also Journal Article in Journal of Financial Econometrics (2005)

1997

  1. Conditional means of time series processes and time series processes for conditional means
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads
    Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (1996)

    See also Journal Article in International Economic Review (1998)
  2. Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (29)
    Also in Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) (1997) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2001)
  3. Pricing Options on Assets with Predictable White Noise Returns
    FMG Discussion Papers, Financial Markets Group Downloads View citations (3)
  4. The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models
    Working Papers, Centro de Estudios Monetarios Y Financieros-
    See also Journal Article in Econometrics Journal (1998)

1996

  1. An EM Algorithm for Conditionally Heteroskedastic Factor Models
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (4)
    See also Journal Article in Journal of Business & Economic Statistics (1998)
  2. Marginalization and contemporaneous aggregation in multivariate GARCH processes
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (42)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1993) Downloads View citations (1)
    Working Papers, Tilburg - Center for Economic Research (1993) View citations (3)
    Working Papers, Centro de Estudios Monetarios Y Financieros- (1994) View citations (1)

    See also Journal Article in Journal of Econometrics (1996)

1995

  1. Has the EMS Reduced the Cost of Capital?
    Working Papers, Centro de Estudios Monetarios Y Financieros-
  2. Quadratic Arch Models
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (166)
    See also Journal Article in Review of Economic Studies (1995)
  3. Risk and Return in the Spanish Stock Market
    FMG Discussion Papers, Financial Markets Group Downloads View citations (1)

1994

  1. A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix
    Working Papers, Centro de Estudios Monetarios Y Financieros-
  2. An Index of Co-Movements in Financial Time Series
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (4)
  3. The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (9)

1990

  1. Volatiltiy and Links Between National Stock Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    See also Journal Article in Econometrica (1994)

Journal Articles

2016

  1. Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference
    Journal of Financial Econometrics, 2016, 14, (2), 248-252 Downloads
  2. Duality in mean-variance frontiers with conditioning information
    Journal of Empirical Finance, 2016, 38, (PB), 762-785 Downloads
    See also Working Paper (2007)
  3. Neglected serial correlation tests in UCARIMA models
    SERIEs: Journal of the Spanish Economic Association, 2016, 7, (1), 121-178 Downloads
    See also Working Paper (2014)

2015

  1. A Unifying Approach to the Empirical Evaluation of Asset Pricing Models
    The Review of Economics and Statistics, 2015, 97, (2), 412-435 Downloads View citations (4)
    See also Working Paper (2010)

2014

  1. Comment
    Journal of Business & Economic Statistics, 2014, 32, (2), 193-198 Downloads

2013

  1. Sequential estimation of shape parameters in multivariate dynamic models
    Journal of Econometrics, 2013, 177, (2), 233-249 Downloads View citations (2)
    See also Working Paper (2012)
  2. Valuation of VIX derivatives
    Journal of Financial Economics, 2013, 108, (2), 367-391 Downloads View citations (15)
    See also Working Paper (2012)

2012

  1. Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations
    The Review of Economics and Statistics, 2012, 94, (1), 133-152 Downloads View citations (7)
    See also Working Paper (2009)
  2. Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach
    Journal of Econometrics, 2012, 170, (2), 303-324 Downloads View citations (3)
    See also Working Paper (2010)
  3. Underidentification?
    Journal of Econometrics, 2012, 170, (2), 256-280 Downloads
    See also Working Paper (2009)

2011

  1. TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH
    International Economic Review, 2011, 52, (4), 1215-1251 Downloads View citations (3)
    See also Working Paper (2007)

2010

  1. A comparison of mean-variance efficiency tests
    Journal of Econometrics, 2010, 154, (1), 16-34 Downloads View citations (15)

2009

  1. Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
    Journal of Econometrics, 2009, 153, (2), 105-121 Downloads View citations (19)
    See also Working Paper (2009)
  2. Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation
    Journal of Business & Economic Statistics, 2009, 27, (2), 176-192 Downloads View citations (20)
    See also Working Paper (2007)
  3. The econometrics of mean-variance efficiency tests: a survey
    Econometrics Journal, 2009, 12, (3), C65-C101 Downloads View citations (12)

2008

  1. Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
    Journal of Econometrics, 2008, 146, (1), 10-25 Downloads View citations (13)
    See also Working Paper (2007)

2005

  1. Least Squares Predictions and Mean-Variance Analysis
    Journal of Financial Econometrics, 2005, 3, (1), 56-78 Downloads View citations (4)
    See also Working Paper (1999)

2004

  1. Constrained Indirect Estimation
    Review of Economic Studies, 2004, 71, (4), 945-973 Downloads View citations (25)
  2. Factor representing portfolios in large asset markets
    Journal of Econometrics, 2004, 119, (2), 257-289 Downloads View citations (31)
    See also Working Paper (2000)
  3. Likelihood-Based Estimation of Latent Generalized ARCH Structures
    Econometrica, 2004, 72, (5), 1481-1517 Downloads View citations (27)
    See also Working Paper (2004)
  4. On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
    Economics Letters, 2004, 83, (3), 307-312 Downloads View citations (20)

2003

  1. Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations
    Journal of Business & Economic Statistics, 2003, 21, (4), 532-46 View citations (92)

2002

  1. Did the EMS Reduce the Cost of Capital?
    Economic Journal, 2002, 112, (482), 786-809 Downloads View citations (15)
    See also Working Paper (2000)

2001

  1. Identification, estimation and testing of conditionally heteroskedastic factor models
    Journal of Econometrics, 2001, 102, (2), 143-164 Downloads View citations (115)
    See also Working Paper (1997)

2000

  1. The Likelihood Function of Conditionally Heteroskedastic Factor Models
    Annals of Economics and Statistics, 2000, (58), 1-19 Downloads View citations (2)

1999

  1. Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix
    Spanish Economic Review, 1999, 1, (1), 79-90 Downloads

1998

  1. An EM Algorithm for Conditionally Heteroscedastic Factor Models
    Journal of Business & Economic Statistics, 1998, 16, (3), 357-61 View citations (7)
    See also Working Paper (1996)
  2. Conditional Means of Time Series Processes and Time Series Processes for Conditional Means
    International Economic Review, 1998, 39, (4), 1101-18 View citations (12)
    See also Working Paper (1997)
  3. Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market
    Investigaciones Economicas, 1998, 22, (1), 5-17 Downloads View citations (4)
  4. Testing for GARCH effects: a one-sided approach
    Journal of Econometrics, 1998, 86, (1), 97-127 Downloads View citations (37)
  5. The relation between conditionally heteroskedastic factor models and factor GARCH models
    Econometrics Journal, 1998, 1, (RegularPapers), 1-9 View citations (9)
    See also Working Paper (1997)

1997

  1. Multivariate Regression with Unequal Number of Observations—Solution
    Econometric Theory, 1997, 13, (04), 613-614 Downloads
  2. Risk and return in the Spanish stock market: some evidence from individual assets
    Investigaciones Economicas, 1997, 21, (2), 297-360 Downloads View citations (3)

1996

  1. Marginalization and contemporaneous aggregation in multivariate GARCH processes
    Journal of Econometrics, 1996, 71, (1-2), 71-87 Downloads View citations (41)
    See also Working Paper (1996)
  2. Multivariate Regression with Unequal Number of Observations
    Econometric Theory, 1996, 12, (03), 586-587 Downloads

1995

  1. Quadratic ARCH Models
    Review of Economic Studies, 1995, 62, (4), 639-661 Downloads View citations (153)
    See also Working Paper (1995)

1994

  1. Volatility and Links between National Stock Markets
    Econometrica, 1994, 62, (4), 901-33 Downloads View citations (391)
    See also Working Paper (1990)

1993

  1. The econometrics of the stock market I: rationality tests
    Investigaciones Economicas, 1993, 17, (3), 401-420 Downloads
  2. The econometrics of the stock market II: asset pricing
    Investigaciones Economicas, 1993, 17, (3), 421-444 Downloads View citations (1)

1992

  1. Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data
    Economic Journal, 1992, 102, (411), 415-25 Downloads View citations (95)
  2. Unobserved component time series models with Arch disturbances
    Journal of Econometrics, 1992, 52, (1-2), 129-157 Downloads View citations (153)

1991

  1. Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan
    Review of Economic Studies, 1991, 58, (3), 547-563 Downloads View citations (10)

1988

  1. Nota sobre la inclusión en el sistema de precios en un modelo de Leontief de dos regímenes de imposición indirecta sobre el consumo
    Investigaciones Economicas, 1988, 12, (1), 169-176 Downloads
 
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