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Enrique Sentana

Personal Details

First Name:Enrique
Middle Name:
Last Name:Sentana
Suffix:
RePEc Short-ID:pse39
[This author has chosen not to make the email address public]
http://www.cemfi.es/~sentana
CEMFI, Casado del Alisal 5, 28014 Madrid, Spain
+ 34 91 429 05 51
Terminal Degree:1991 London School of Economics (LSE) (from RePEc Genealogy)

Affiliation

(1%) Centre for Economic Policy Research (CEPR)

London, United Kingdom
http://www.cepr.org/
RePEc:edi:cebruuk (more details at EDIRC)

(98%) Centro de Estudios Monetarios y Financieros (CEMFI)

Madrid, Spain
http://www.cemfi.es/
RePEc:edi:cemfies (more details at EDIRC)

(1%) Financial Markets Group (FMG)
London School of Economics (LSE)

London, United Kingdom
http://fmg.lse.ac.uk/
RePEc:edi:fmlseuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2024. "The information matrix test for Gaussian mixtures," Working Papers wp2024_2401, CEMFI.
  2. Francisco Peñaranda & Enrique Sentana, 2024. "Portfolio management with big data," Working Papers wp2024_2411, CEMFI.
  3. Dante Amengual & Xinyue Bei & Marine Carrasco & Enrique Sentana, 2023. "Score-type tests for normal mixtures," CIRANO Working Papers 2023s-02, CIRANO.
  4. Dante Amengual & Xinyue Bei & Enrique Sentana, 2023. "Highly Irregular Serial Correlation Tests," Working Papers wp2023_2302, CEMFI.
  5. Martín Almuzara & Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "GDP Solera. The Ideal Vintage Mix," Working Papers wp2022_2204, CEMFI.
  6. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "PML vs minimum χ 2 : the comeback," Working Papers wp2022_2210, CEMFI.
  7. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "Specification tests for non-Gaussian structural vector autoregressions," Working Papers wp2022_2212, CEMFI.
  8. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Tests for random coefficient variation in vector autoregressive models," Working Papers wp2021_2108, CEMFI.
  9. Dante Amengual & Xinyue Bei & Enrique Sentana, 2021. "Normal but Skewed?," Working Papers wp2021_2104, CEMFI.
  10. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Multivariate Hermite polynomials and information matrix tests," Working Papers wp2021_2103, CEMFI.
  11. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Moment tests of independent components," Working Papers wp2021_2102, CEMFI.
  12. Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2021. "Aggregate Output Measurements: A Common Trend Approach," Working Papers wp2021_2101, CEMFI.
  13. Jan R. Magnus & Henk G. J. Pijls & Enrique Sentana, 2020. "The Jacobian of the Exponential Function," Working Papers wp2020_2005, CEMFI.
  14. Dante Amengual & Enrique Sentana & Zhanyuan Tian, 2020. "Gaussian Rank Correlation and Regression," Working Papers wp2020_2004, CEMFI.
  15. Jan R. Magnus & Enrique Sentana, 2020. "Zero-Diagonality as a Linear Structure," Working Papers wp2020_2016, CEMFI.
  16. Gabriele Fiorentini & Enrique Sentana, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," Working Papers wp2020_2023, CEMFI.
  17. Dante Amengual & Xinyue Bei & Enrique Sentana, 2020. "Hypothesis Tests with a Repeatedly Singular Information Matrix," Working Papers wp2020_2002, CEMFI.
  18. Enrique Sentana, 2018. "Volatility, Diversification and Contagion," Working Papers wp2018_1803, CEMFI.
  19. Gabriele Fiorentini & Enrique Sentana, 2018. "New Testing Approaches for Mean-Variance Predictability," Working Papers wp2018_1814, CEMFI.
  20. Gabriele Fiorentini & Enrique Sentana, 2018. "Specification Tests for Non-Gaussian Maximum Likelihood Estimators," Working Papers wp2018_1804, CEMFI.
  21. Gabriele Fiorentini & Alessandro Galesi & Gabriel Pérez-Quirós & Enrique Sentana, 2018. "The rise and fall of the natural interest rate," Working Papers 1822, Banco de España.
  22. Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators," Working Papers wp2018_1802, CEMFI.
  23. Dante Amengual & Marine Carrasco & Enrique Sentana, 2017. "Testing Distributional Assumptions Using a Continuum of Moments," Working Papers wp2017_1709, CEMFI.
  24. Tincho Almuzara & Dante Amengual & Enrique Sentana, 2017. "Normality Tests for Latent Variables," Working Papers wp2017_1708, CEMFI.
  25. Elena Manresa & Francisco Peñaranda & Enrique Sentana, 2017. "Empirical Evaluation of Overspecified Asset Pricing Models," Working Papers wp2017_1711, CEMFI.
  26. Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2016. "A spectral EM algorithm for dynamic factor models," Working Papers 1619, Banco de España.
  27. Enrique Sentana, 2015. "Finite Underidentification," Working Papers wp2015_1508, CEMFI.
  28. Javier Mencía & Enrique Sentana, 2015. "Volatility-related exchange traded assets: an econometric investigation," Working Papers 1510, Banco de España.
  29. Dante Amengual & Enrique Sentana, 2015. "Is a Normal Copula the Right Copula?," Working Papers wp2015_1504, CEMFI.
  30. Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2015. "Fast ML estimation of dynamic bifactor models: an application to European inflation," Working Papers 1525, Banco de España.
  31. Gabriele Fiorentini & Enrique Sentana, 2014. "Neglected Serial Correlation Tests in UCARIMA Models," Working Papers wp2014_1406, CEMFI.
  32. Gabriele Fiorentini & Enrique Sentana, 2013. "Dynamic Specification Tests for Dynamic Factor Models," Working Papers wp2013_1306, CEMFI.
  33. Javier Mencía & Enrique Sentana, 2012. "Valuation of vix derivatives," Working Papers 1232, Banco de España.
  34. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
  35. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2012. "Sequential Estimation of Shape Parameters in Multivariate Dynamic Models," Working Papers wp2012_1201, CEMFI.
  36. Francisco Peñaranda & Enrique Sentana, 2010. "A Unifying Approach to the Empirical Evaluation of Asset Pricing Models," Working Papers 488, Barcelona School of Economics.
  37. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests for Static Factor Models," Working Papers wp2009_0912, CEMFI.
  38. Javier Mencía & Enrique Sentana, 2009. "Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation," Working Papers 0909, Banco de España.
  39. Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009. "Underidentification? (Resumen)," Working Papers wp2009_0905, CEMFI.
  40. Javier Mencía & Enrique Sentana, 2009. "Distributional tests in multivariate dynamic models with Normal and Student t innovations," Working Papers 0929, Banco de España.
  41. Dante Amengual & Enrique Sentana, 2008. "A Comparison of Mean-Variance Efficiency Tests," Working Papers wp2008_0806, CEMFI.
  42. Enrique Sentana, 2008. "The Econometrics of Mean-Variance Efficiency Tests: A Survey," Working Papers wp2008_0807, CEMFI.
  43. Ángel León & Javier Mencía & Enrique Sentana, 2007. "Parametric properties of semi-nonparametric distributions, with applications to option valuation," Working Papers 0707, Banco de España.
  44. Francisco Peñaranda & Enrique Sentana, 2007. "Duality in Mean-Variance Frontiers with Conditioning Information," Working Papers wp2007_0715, CEMFI.
  45. Antonio Diez de los Rios & Enrique Sentana, 2007. "Testing Uncovered Interest Parity: A Continuous-Time Approach," Staff Working Papers 07-53, Bank of Canada.
  46. Gabriele Fiorentini & Giorgio Calzolari & Enrique Sentana, 2007. "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Working Paper series 40_07, Rimini Centre for Economic Analysis.
  47. Gabriele Fiorentini & Enrique Sentana, 2007. "On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models," Working Papers wp2007_0713, CEMFI.
  48. Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
  49. F. Javier Mencía & Enrique Sentana, 2004. "Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations," Working Papers wp2004_0411, CEMFI.
  50. Francisco Peñaranda & Enrique Sentana, 2004. "Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," Working Papers wp2004_0410, CEMFI.
  51. Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari, 2003. "On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models," Working Papers wp2003_0306, CEMFI.
  52. Neil Shephard & Enrique Sentana & Gabriele Fiorentini, 2003. "Likelihood-based estimation of latent generalised ARCH," Economics Series Working Papers 2004-FE-02, University of Oxford, Department of Economics.
  53. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2002. "Likelihood-Based Estimation of Latent Generalised ARCH Structures," Working Papers wp2002_0204, CEMFI.
  54. Calzorali, Giorgio & Fiorentini, Gabriele & Sentana, Enrique, 2001. "Constrained indirect inference estimation," LSE Research Online Documents on Economics 25061, London School of Economics and Political Science, LSE Library.
  55. Enrique Sentana, 2001. "Mean-Variance Portfolio Allocation with a Value at Risk Constraint," Working Papers wp2001_0105, CEMFI.
  56. Sentana, Enrique, 2000. "Did the EMS Reduce the Cost of Capital?," CEPR Discussion Papers 2640, C.E.P.R. Discussion Papers.
  57. Fiorentini, G. & Sentana, E. & Calzolari, G., 2000. "The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality," Papers 0007, Centro de Estudios Monetarios Y Financieros-.
  58. Giorgio Calzolari & Gabriele Fiorentini & Enrique Sentana, 2000. "Constrained EMM and Indirect Inference Estimation. Versión Revisada," Working Papers wp2000_0005, CEMFI.
  59. Manuel Arellano & Lars P. Hansen & Enrique Sentana, 2000. "Underidentification?," Econometric Society World Congress 2000 Contributed Papers 1824, Econometric Society.
  60. Sentana, E., 2000. "Factor Representing Portfolios in Large Asset Markets," Papers 0001, Centro de Estudios Monetarios Y Financieros-.
  61. Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari, 2000. "The Score of Conditionally Heteroskedastic Dynamic Regression Models with Student t Innovations, and an LM Test for Multivariate Normality.Versión Revisada," Working Papers wp2000_0007, CEMFI.
  62. Enrique Sentana, 2000. "Factor Representing Portfolios in Large Asset Markets.Versión Revisada," Working Papers wp2000_0001, CEMFI.
  63. Calzolari, G. & Fiorentini, G. & Sentana, E., 2000. "Constrained EMM and Indirect Inference Estimation," Papers 0005, Centro de Estudios Monetarios Y Financieros-.
  64. Sentana, Enrique, 1999. "Least Squares Predictions and Mean-Variance Analysis," CEPR Discussion Papers 2088, C.E.P.R. Discussion Papers.
  65. Enrique Sentana, 1997. "Risk and Return in the Spanish Stock Market: Some Evidence from Individual Assets," Working Papers wp1997_9702, CEMFI.
  66. Enrique Sentana, 1997. "Least Squares Predictions and Mean-Variance Analysis. Versión Revisada," Working Papers wp1997_9711, CEMFI.
  67. Enrique Sentana, 1997. "The Relation Between Conditionally Heteroskedastic Factor Models and Factor GARCH Models," Working Papers wp1997_9719, CEMFI.
  68. Enrique Sentana & Gabriele Fiorentini, 1997. "Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada," Working Papers wp1997_9709, CEMFI.
  69. Sentana, E. & Fiorentini, G., 1997. "Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model," Papers 9709, Centro de Estudios Monetarios Y Financieros-.
  70. Ángel León & Enrique Sentana, 1997. "Pricing Options on Assets with Predictable White Noise Returns," Working Papers wp1997_9704, CEMFI.
  71. Gabriele Fiorentini & Enrique Sentana, 1996. "Conditional Means of Time Series Processes and Time Series Processes for Conditional Means," Working Papers wp1996_9617, CEMFI.
  72. Antonis Demos & Enrique Sentana, 1996. "An EM Algorithm for Conditionally Heteroskedastic Factor Models," Working Papers wp1996_9615, CEMFI.
  73. Antonis Demos & Enrique Sentana, 1996. "Testing for GARCH Effects: A One-Sided Approach," Working Papers wp1996_9611, CEMFI.
  74. Enrique Sentana & Mustaq Shah & Sushil Wadhwani, 1995. "Has the EMS Reduced the Cost of Capital? Versión Revisada," Working Papers wp1995_9514, CEMFI.
  75. Sentana, E. & Shah, M. & Wadhwani, S., 1995. "Has the EMS Reduced the Cost of Capital?," Papers 9514, Centro de Estudios Monetarios Y Financieros-.
  76. Enrique Sentana, 1995. "Riesgo y rentabilidad en el mercado de valores español," Working Papers wp1995_9507, CEMFI.
  77. Sentana, Enrique, 1995. "Risk and return in the Spanish stock market," LSE Research Online Documents on Economics 119179, London School of Economics and Political Science, LSE Library.
  78. Enrique Sentana, 1995. "Quadratic ARCH Models," Working Papers wp1995_9517, CEMFI.
  79. Enrique Sentana & Mushtaq Shah, 1994. "An Index of Co-Movements in Financial Time Series," Working Papers wp1994_9415, CEMFI.
  80. Theo Nijman # Enrique Sentana, 1994. "Marginalization and Contemporaneous Aggregation in Multivariate GARCH Processes," Working Papers wp1994_9419, CEMFI.
  81. Enrique Sentana, 1994. "A Positive Rank-One Modification of the Symmetric Factorization of a Positive Semi-Definite Matrix," Working Papers wp1994_9421, CEMFI.
  82. Enrique Sentana, 1994. "The Likelihood Function of a Conditionally Heteroskedastic Factor Model with Heywood Cases," Working Papers wp1994_9420, CEMFI.
  83. Mervyn King & Enrique Sentana & Sushil Wadhwani, 1990. "Volatiltiy and Links Between National Stock Markets," NBER Working Papers 3357, National Bureau of Economic Research, Inc.

Articles

  1. Martín Almuzara & Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2024. "GDP Solera: The Ideal Vintage Mix," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 984-997, July.
  2. Sentana, Enrique, 2024. "Finite underidentification," Journal of Econometrics, Elsevier, vol. 240(1).
  3. Manresa, Elena & Peñaranda, Francisco & Sentana, Enrique, 2023. "Empirical evaluation of overspecified asset pricing models," Journal of Financial Economics, Elsevier, vol. 147(2), pages 338-351.
  4. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2023. "PML versus minimum $${\chi }^{2}$$ χ 2 : the comeback," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 14(3), pages 253-300, December.
  5. Fiorentini, Gabriele & Sentana, Enrique, 2023. "Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions," Journal of Econometrics, Elsevier, vol. 235(2), pages 643-665.
  6. Dante Amengual & Xinyue Bei & Enrique Sentana, 2022. "Normal but skewed?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(7), pages 1295-1313, November.
  7. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "Moment tests of independent components," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 13(1), pages 429-474, May.
  8. Magnus, Jan R. & Pijls, Henk G.J. & Sentana, Enrique, 2021. "The Jacobian of the exponential function," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
  9. Fiorentini, Gabriele & Sentana, Enrique, 2021. "New testing approaches for mean–variance predictability," Journal of Econometrics, Elsevier, vol. 222(1), pages 516-538.
  10. Gabriele Fiorentini & Enrique Sentana, 2021. "Specification tests for non‐Gaussian maximum likelihood estimators," Quantitative Economics, Econometric Society, vol. 12(3), pages 683-742, July.
  11. Dante Amengual & Enrique Sentana, 2020. "Is a Normal Copula the Right Copula?," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 350-366, April.
  12. Amengual, Dante & Carrasco, Marine & Sentana, Enrique, 2020. "Testing distributional assumptions using a continuum of moments," Journal of Econometrics, Elsevier, vol. 218(2), pages 655-689.
  13. Magnus, Jan R. & Sentana, Enrique, 2020. "Zero-diagonality as a linear structure," Economics Letters, Elsevier, vol. 196(C).
  14. Martín Almuzara & Dante Amengual & Enrique Sentana, 2019. "Normality tests for latent variables," Quantitative Economics, Econometric Society, vol. 10(3), pages 981-1017, July.
  15. Gabriele Fiorentini & Enrique Sentana, 2019. "Dynamic specification tests for dynamic factor models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 325-346, April.
  16. Fiorentini, Gabriele & Sentana, Enrique, 2019. "Consistent non-Gaussian pseudo maximum likelihood estimators," Journal of Econometrics, Elsevier, vol. 213(2), pages 321-358.
  17. Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique, 2018. "A spectral EM algorithm for dynamic factor models," Journal of Econometrics, Elsevier, vol. 205(1), pages 249-279.
  18. Javier Mencía & Enrique Sentana, 2018. "Volatility-Related Exchange Traded Assets: An Econometric Investigation," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(4), pages 599-614, October.
  19. Gabriele Fiorentini & Enrique Sentana, 2016. "Neglected serial correlation tests in UCARIMA models," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 121-178, March.
  20. Dante Amengual & Enrique Sentana, 2016. "Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference," Journal of Financial Econometrics, Oxford University Press, vol. 14(2), pages 248-252.
  21. Peñaranda, Francisco & Sentana, Enrique, 2016. "Duality in mean-variance frontiers with conditioning information," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 762-785.
  22. Francisco Peñaranda & Enrique Sentana, 2015. "A Unifying Approach to the Empirical Evaluation of Asset Pricing Models," The Review of Economics and Statistics, MIT Press, vol. 97(2), pages 412-435, May.
  23. Gabriele Fiorentini & Enrique Sentana, 2014. "Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 193-198, April.
  24. Mencía, Javier & Sentana, Enrique, 2013. "Valuation of VIX derivatives," Journal of Financial Economics, Elsevier, vol. 108(2), pages 367-391.
  25. Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2013. "Sequential estimation of shape parameters in multivariate dynamic models," Journal of Econometrics, Elsevier, vol. 177(2), pages 233-249.
  26. Peñaranda, Francisco & Sentana, Enrique, 2012. "Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach," Journal of Econometrics, Elsevier, vol. 170(2), pages 303-324.
  27. Javier Mencía & Enrique Sentana, 2012. "Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 133-152, February.
  28. Arellano, Manuel & Hansen, Lars Peter & Sentana, Enrique, 2012. "Underidentification?," Journal of Econometrics, Elsevier, vol. 170(2), pages 256-280.
  29. Antonio Diez de los Rios & Enrique Sentana, 2011. "Testing Uncovered Interest Parity: A Continuous‐Time Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(4), pages 1215-1251, November.
  30. Amengual, Dante & Sentana, Enrique, 2010. "A comparison of mean-variance efficiency tests," Journal of Econometrics, Elsevier, vol. 154(1), pages 16-34, January.
  31. León, à ngel & Mencía, Javier & Sentana, Enrique, 2009. "Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 176-192.
  32. Mencía, Javier & Sentana, Enrique, 2009. "Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation," Journal of Econometrics, Elsevier, vol. 153(2), pages 105-121, December.
  33. Enrique Sentana, 2009. "The econometrics of mean-variance efficiency tests: a survey," Econometrics Journal, Royal Economic Society, vol. 12(3), pages 65-101, November.
  34. Sentana, Enrique & Calzolari, Giorgio & Fiorentini, Gabriele, 2008. "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Journal of Econometrics, Elsevier, vol. 146(1), pages 10-25, September.
  35. Enrique Sentana, 2005. "Least Squares Predictions and Mean-Variance Analysis," Journal of Financial Econometrics, Oxford University Press, vol. 3(1), pages 56-78.
  36. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-Based Estimation of Latent Generalized ARCH Structures," Econometrica, Econometric Society, vol. 72(5), pages 1481-1517, September.
  37. Giorgio Calzolari & Gabriele Fiorentini & Enrique Sentana, 2004. "Constrained Indirect Estimation," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 71(4), pages 945-973.
  38. Sentana, Enrique, 2004. "Factor representing portfolios in large asset markets," Journal of Econometrics, Elsevier, vol. 119(2), pages 257-289, April.
  39. Fiorentini, Gabriele & Sentana, Enrique & Calzolari, Giorgio, 2004. "On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models," Economics Letters, Elsevier, vol. 83(3), pages 307-312, June.
  40. Fiorentini, Gabriele & Sentana, Enrique & Calzolari, Giorgio, 2003. "Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(4), pages 532-546, October.
  41. Enrique Sentana, 2002. "Did the EMS Reduce the Cost of Capital?," Economic Journal, Royal Economic Society, vol. 112(482), pages 786-809, October.
  42. Sentana, Enrique & Fiorentini, Gabriele, 2001. "Identification, estimation and testing of conditionally heteroskedastic factor models," Journal of Econometrics, Elsevier, vol. 102(2), pages 143-164, June.
  43. Enrique Sentana, 2000. "The Likelihood Function of Conditionally Heteroskedastic Factor Models," Annals of Economics and Statistics, GENES, issue 58, pages 1-19.
  44. Enrique Sentana, 1999. "Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix," Spanish Economic Review, Springer;Spanish Economic Association, vol. 1(1), pages 79-90.
  45. Enrique Sentana, 1998. "The relation between conditionally heteroskedastic factor models and factor GARCH models," Econometrics Journal, Royal Economic Society, vol. 1(RegularPa), pages 1-9.
  46. Demos, Antonis & Sentana, Enrique, 1998. "An EM Algorithm for Conditionally Heteroscedastic Factor Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 357-361, July.
  47. Demos, Antonis & Sentana, Enrique, 1998. "Testing for GARCH effects: a one-sided approach," Journal of Econometrics, Elsevier, vol. 86(1), pages 97-127, June.
  48. Pedro L. Sánchez-Torres & Enrique Sentana, 1998. "Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market," Investigaciones Economicas, Fundación SEPI, vol. 22(1), pages 5-17, January.
  49. Fiorentini, Gabriele & Sentana, Enrique, 1998. "Conditional Means of Time Series Processes and Time Series Processes for Conditional Means," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 1101-1118, November.
  50. Enrique Sentana, 1997. "Risk and return in the Spanish stock market: some evidence from individual assets," Investigaciones Economicas, Fundación SEPI, vol. 21(2), pages 297-360, May.
  51. Nijman, Theo & Sentana, Enrique, 1996. "Marginalization and contemporaneous aggregation in multivariate GARCH processes," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 71-87.
  52. Enrique Sentana, 1995. "Quadratic ARCH Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 62(4), pages 639-661.
  53. King, Mervyn & Sentana, Enrique & Wadhwani, Sushil, 1994. "Volatility and Links between National Stock Markets," Econometrica, Econometric Society, vol. 62(4), pages 901-933, July.
  54. Enrique Sentana, 1993. "The econometrics of the stock market II: asset pricing," Investigaciones Economicas, Fundación SEPI, vol. 17(3), pages 421-444, September.
  55. Enrique Sentana, 1993. "The econometrics of the stock market I: rationality tests," Investigaciones Economicas, Fundación SEPI, vol. 17(3), pages 401-420, September.
  56. Sentana, Enrique & Wadhwani, Sushil B, 1992. "Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data," Economic Journal, Royal Economic Society, vol. 102(411), pages 415-425, March.
  57. Harvey, Andrew & Ruiz, Esther & Sentana, Enrique, 1992. "Unobserved component time series models with Arch disturbances," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 129-157.
  58. Enrique Sentana & Sushil Wadhwani, 1991. "Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(3), pages 547-563.
  59. Enrique Sentana Ivañez, 1988. "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, Fundación SEPI, vol. 12(1), pages 169-176, January.

Chapters

  1. Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2023. "Aggregate Output Measurements: A Common Trend Approach," Advances in Econometrics, in: Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, volume 45, pages 3-33, Emerald Group Publishing Limited.
  2. Dante Amengual & Enrique Sentana & Zhanyuan Tian, 2022. "Gaussian Rank Correlation and Regression," Advances in Econometrics, in: Essays in Honor of M. Hashem Pesaran: Panel Modeling, Micro Applications, and Econometric Methodology, volume 43, pages 269-306, Emerald Group Publishing Limited.
  3. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "Tests for Random Coefficient Variation in Vector Autoregressive Models," Advances in Econometrics, in: Essays in Honour of Fabio Canova, volume 44, pages 1-35, Emerald Group Publishing Limited.
  4. Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2016. "Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 215-282, Emerald Group Publishing Limited.

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  3. Number of Distinct Works
  4. Number of Distinct Works, Weighted by Simple Impact Factor
  5. Number of Distinct Works, Weighted by Recursive Impact Factor
  6. Number of Distinct Works, Weighted by Number of Authors
  7. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  8. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  9. Number of Citations
  10. Number of Citations, Weighted by Simple Impact Factor
  11. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  12. Number of Citations, Weighted by Recursive Impact Factor
  13. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  14. Number of Citations, Weighted by Number of Authors
  15. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  16. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  17. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  18. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  19. h-index
  20. Number of Registered Citing Authors
  21. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  22. Number of Journal Pages
  23. Number of Journal Pages, Weighted by Simple Impact Factor
  24. Number of Journal Pages, Weighted by Recursive Impact Factor
  25. Number of Journal Pages, Weighted by Number of Authors
  26. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  27. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  28. Number of Abstract Views in RePEc Services over the past 12 months
  29. Number of Downloads through RePEc Services over the past 12 months
  30. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
  31. Euclidian citation score
  32. Wu-Index
  33. Record of graduates

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 89 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (46) 2001-07-23 2004-01-25 2004-10-18 2004-10-18 2005-09-29 2006-01-29 2007-04-09 2007-10-13 2007-11-17 2008-07-30 2009-10-24 2010-01-16 2010-01-30 2010-04-11 2010-04-17 2010-08-06 2012-07-01 2013-02-08 2013-07-15 2014-12-19 2015-03-05 2015-03-05 2015-09-11 2015-10-25 2017-02-05 2018-02-19 2018-05-21 2018-11-19 2018-11-19 2018-11-19 2019-01-14 2020-07-13 2020-07-20 2021-02-22 2021-03-08 2021-03-22 2021-03-29 2021-03-29 2021-05-31 2021-08-23 2021-10-11 2023-01-16 2023-01-16 2023-01-23 2023-09-25 2024-03-11. Author is listed
  2. NEP-ORE: Operations Research (42) 2008-08-21 2010-08-06 2012-07-01 2014-12-19 2015-10-25 2016-02-23 2016-10-09 2017-02-05 2017-06-18 2018-02-19 2018-02-26 2018-03-05 2018-05-21 2018-05-28 2018-06-18 2018-11-12 2018-11-12 2018-11-19 2019-01-14 2019-01-21 2019-01-21 2019-02-25 2020-04-13 2020-07-13 2020-07-20 2020-07-20 2021-02-22 2021-02-22 2021-03-08 2021-03-22 2021-03-29 2021-03-29 2021-03-29 2021-05-24 2021-05-31 2021-06-14 2021-06-21 2021-08-23 2021-08-23 2021-10-11 2021-10-18 2021-10-18. Author is listed
  3. NEP-ETS: Econometric Time Series (28) 2004-01-25 2004-10-18 2005-09-29 2008-08-21 2010-01-16 2010-01-30 2010-04-11 2012-07-01 2013-02-08 2013-07-15 2014-12-19 2015-10-25 2016-02-23 2016-10-09 2018-05-21 2018-05-28 2018-06-18 2018-07-30 2018-11-12 2019-01-14 2020-07-13 2020-07-20 2021-02-22 2021-03-08 2021-03-22 2021-10-11 2023-01-16 2023-09-25. Author is listed
  4. NEP-MAC: Macroeconomics (19) 2015-03-05 2015-03-13 2015-10-04 2015-10-25 2018-07-30 2018-08-13 2018-08-13 2018-11-12 2018-11-19 2018-11-19 2021-02-22 2021-02-22 2021-03-08 2021-03-29 2021-05-10 2021-10-11 2021-10-18 2021-10-18 2022-04-18. Author is listed
  5. NEP-MON: Monetary Economics (8) 2007-10-13 2007-11-17 2008-08-21 2018-07-30 2018-08-13 2018-08-13 2018-11-12 2018-11-19. Author is listed
  6. NEP-FIN: Finance (7) 2001-06-14 2004-10-18 2004-10-18 2004-10-18 2005-09-29 2006-01-29 2006-09-11. Author is listed
  7. NEP-CBA: Central Banking (5) 2007-10-13 2007-11-17 2008-08-21 2015-03-05 2015-03-13. Author is listed
  8. NEP-EEC: European Economics (4) 2015-03-05 2015-03-13 2018-08-13 2018-11-12
  9. NEP-FMK: Financial Markets (4) 2006-01-29 2006-09-11 2017-06-18 2024-08-19
  10. NEP-RMG: Risk Management (4) 2012-07-01 2015-03-13 2019-01-14 2019-02-25
  11. NEP-FOR: Forecasting (3) 2019-01-14 2019-01-21 2019-02-25
  12. NEP-HIS: Business, Economic and Financial History (3) 2018-08-13 2018-11-12 2018-11-19
  13. NEP-IFN: International Finance (2) 2007-10-13 2007-11-17
  14. NEP-ISF: Islamic Finance (2) 2021-08-23 2021-08-23
  15. NEP-MFD: Microfinance (2) 2015-03-05 2015-03-05
  16. NEP-BIG: Big Data (1) 2024-08-19
  17. NEP-CFN: Corporate Finance (1) 2007-11-17
  18. NEP-CMP: Computational Economics (1) 2024-08-19
  19. NEP-CWA: Central and Western Asia (1) 2021-10-18
  20. NEP-NET: Network Economics (1) 2021-03-29

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