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Enrique Sentana

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Personal Details

First Name: Enrique
Middle Name:
Last Name: Sentana
Suffix:

RePEc Short-ID: pse39

Email:
Homepage: http://www.cemfi.es/~sentana
Postal Address: CEMFI, Casado del Alisal 5, 28014 Madrid, Spain
Phone: + 34 91 429 05 51

Affiliation

(98%) Centro de Estudios Monetarios y Financieros (CEMFI)
Location: Madrid, Spain
Homepage: http://www.cemfi.es/
Email:
Phone: 914290551
Fax: 914291056
Postal: Casado del Alisal, 5, 28014 Madrid
Handle: RePEc:edi:cemfies (more details at EDIRC)
(1%) Centre for Economic Policy Research (CEPR)
Location: London, United Kingdom
Homepage: http://www.cepr.org/
Email:
Phone: +44 (0)20 7183 8801
Fax: +44 (0)20 7183 8820
Postal: 3rd Floor, 77 Bastwick Street, London EC1V 3PZ
Handle: RePEc:edi:cebruuk (more details at EDIRC)
(1%) Financial Markets Group (FMG)
London School of Economics (LSE)
Location: London, United Kingdom
Homepage: http://fmg.lse.ac.uk/
Email:
Phone: 020-7955-7002
Fax: 020-7242-1006
Postal: Houghton Street, London WC2A 2AE
Handle: RePEc:edi:fmlseuk (more details at EDIRC)

Works

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Working papers

  1. Gabriele Fiorentini & Enrique Sentana, 2013. "Dynamic Specification Tests For Dynamic Factor Models," Working Papers wp2013_1306, CEMFI.
  2. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests For Serial Dependence In Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
  3. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2012. "Sequential Estimation Of Shape Parameters In Multivariate Dynamic Models," Working Papers wp2012_1201, CEMFI.
  4. Francisco Peñaranda & Enrique Sentana, 2010. "A Unifying Approach To The Empirical Evaluation Of Asset Pricing Models," Working Papers wp2010_1004, CEMFI.
  5. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests For Static Factor Models," Working Papers wp2009_0912, CEMFI.
  6. Javier Mencía & Enrique Sentana, 2009. "Valuation Of Vix Derivatives," Working Papers wp2009_0913, CEMFI.
  7. Javier Mencía & Enrique Sentana, 2009. "Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation," Banco de Espa�a Working Papers 0909, Banco de Espa�a.
  8. Enrique Sentana & Javier Mencía, 2008. "Distributional Tests In Multivariate Dynamic Models With Normal And Student T Innovations," Working Papers wp2008_0804, CEMFI.
  9. Enrique Sentana, 2008. "The Econometrics Of Mean-Variance Efficiency Tests: A Survey," Working Papers wp2008_0807, CEMFI.
  10. Enrique Sentana & Dante Amegual, 2008. "A Comparison Of Mean-Variance Efficiency Tests," Working Papers wp2008_0806, CEMFI.
  11. Gabriele Fiorentini & Enrique Sentana, 2007. "On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models," Working Paper Series 38-07, The Rimini Centre for Economic Analysis, revised Jul 2007.
  12. Diez de los Rios, Antonio & Sentana, Enrique, 2007. "Testing Uncovered Interest Parity: A Continuous-Time Approach," CEPR Discussion Papers 6516, C.E.P.R. Discussion Papers.
  13. 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, The Rimini Centre for Economic Analysis, revised Jul 2007.
  14. Francisco Peñaranda & Enrique Sentana, 2007. "Duality in mean-variance frontiers with conditioning information," Economics Working Papers 1058, Department of Economics and Business, Universitat Pompeu Fabra.
  15. León, Ángel & Mencía, Javier & Sentana, Enrique, 2005. "Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation," CEPR Discussion Papers 5435, C.E.P.R. Discussion Papers.
  16. Enrique Sentana & Francisco Penaranda, 2004. "Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," FMG Discussion Papers dp497, Financial Markets Group.
  17. Enrique Sentana, 2004. "Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations," FMG Discussion Papers dp502, Financial Markets Group.
  18. Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation Of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
  19. Neil Shephard & Enrique Sentana, 2003. "Likelihood-based estimation of latent generalised ARCH," Economics Series Working Papers 2004-FE-02, University of Oxford, Department of Economics.
  20. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2002. "Likelihood-based estimation of latent generalised ARCH structures," Economics Papers 2002-W19, Economics Group, Nuffield College, University of Oxford.
  21. Sentana, E., 2001. "Mean-Variance Portfolio Allocation with a Value at Risk Constraint," Papers 0105, Centro de Estudios Monetarios Y Financieros-.
  22. Gabriele Fiorentini & Enrique Sentana, 2001. "Constrained Indirect Inference Estimation," FMG Discussion Papers dp384, Financial Markets Group.
  23. Sentana, E., 2000. "Factor Representing Portfolios in Large Asset Markets," Papers 0001, Centro de Estudios Monetarios Y Financieros-.
  24. Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari, 2000. "The Score Of Conditionally Heteroskedastic Dynamic Regression Models With Student T Innovations, An Lm Test For Multivariate Normality," Working Papers. Serie AD 2000-33, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  25. Manuel Arellano & Lars P. Hansen & Enrique Sentana, 2000. "Underidentification?," Econometric Society World Congress 2000 Contributed Papers 1824, Econometric Society.
  26. 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-.
  27. Sentana, Enrique, 2000. "Did the EMS Reduce the Cost of Capital?," CEPR Discussion Papers 2640, C.E.P.R. Discussion Papers.
  28. Calzolari, G. & Fiorentini, G. & Sentana, E., 2000. "Constrained EMM and Indirect Inference Estimation," Papers 0005, Centro de Estudios Monetarios Y Financieros-.
  29. Sentana, Enrique, 1999. "Least Squares Predictions and Mean-Variance Analysis," CEPR Discussion Papers 2088, C.E.P.R. Discussion Papers.
  30. Sentana, E. & Fiorentini, G., 1997. "Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model," Papers 9709, Centro de Estudios Monetarios Y Financieros-.
  31. Angel León & Enrique Sentana, 1997. "Pricing Options on Assets with Predictable White Noise Returns," FMG Discussion Papers dp267, Financial Markets Group.
  32. Sentana, E., 1997. "The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models," Papers 9719, Centro de Estudios Monetarios Y Financieros-.
  33. Demos, A & Sentana, E, 1996. "An EM Algorithm for Conditionally Heteroskedastic Factor Models," Papers 9615, Centro de Estudios Monetarios Y Financieros-.
  34. Fiorentini, G & Sentana, E, 1996. "Conditional Means of Time Series Processes and Time Series Processes for Conditional Means," Papers 9617, Centro de Estudios Monetarios Y Financieros-.
  35. Enrique Sentana, 1995. "Risk and Return in the Spanish Stock Market," FMG Discussion Papers dp212, Financial Markets Group.
  36. Sentana, E. & Shah, M. & Wadhwani, S., 1995. "Has the EMS Reduced the Cost of Capital?," Papers 9514, Centro de Estudios Monetarios Y Financieros-.
  37. Sentana,E., 1995. "Quadratic Arch Models," Papers 9517, Centro de Estudios Monetarios Y Financieros-.
  38. Sentana, E., 1994. "A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix," Papers 9421, Centro de Estudios Monetarios Y Financieros-.
  39. Nijman, T. & Sentana, E., 1994. "Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses," Papers 9419, Centro de Estudios Monetarios Y Financieros-.
  40. Sentana, E., 1994. "The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases," Papers 9420, Centro de Estudios Monetarios Y Financieros-.
  41. Sentana, E. & Shah, M., 1994. "An Index of Co-Movements in Financial Time Series," Papers 9415, Centro de Estudios Monetarios Y Financieros-.
  42. 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. Mencía, Javier & Sentana, Enrique, 2013. "Valuation of VIX derivatives," Journal of Financial Economics, Elsevier, vol. 108(2), pages 367-391.
  2. 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.
  3. 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.
  4. Arellano, Manuel & Hansen, Lars Peter & Sentana, Enrique, 2012. "Underidentification?," Journal of Econometrics, Elsevier, vol. 170(2), pages 256-280.
  5. 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.
  6. 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.
  7. Amengual, Dante & Sentana, Enrique, 2010. "A comparison of mean-variance efficiency tests," Journal of Econometrics, Elsevier, vol. 154(1), pages 16-34, January.
  8. 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.
  9. Enrique Sentana, 2009. "The econometrics of mean-variance efficiency tests: a survey," Econometrics Journal, Royal Economic Society, vol. 12(3), pages C65-C101, November.
  10. León, Ãngel & 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.
  11. 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.
  12. Enrique Sentana, 2005. "Least Squares Predictions and Mean-Variance Analysis," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 3(1), pages 56-78.
  13. Sentana, Enrique, 2004. "Factor representing portfolios in large asset markets," Journal of Econometrics, Elsevier, vol. 119(2), pages 257-289, April.
  14. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-Based Estimation of Latent Generalized ARCH Structures," Econometrica, Econometric Society, vol. 72(5), pages 1481-1517, 09.
  15. Giorgio Calzolari & Gabriele Fiorentini & Enrique Sentana, 2004. "Constrained Indirect Estimation," Review of Economic Studies, Wiley Blackwell, vol. 71(4), pages 945-973, October.
  16. 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.
  17. 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 532-46, October.
  18. Enrique Sentana, 2002. "Did the EMS Reduce the Cost of Capital?," Economic Journal, Royal Economic Society, vol. 112(482), pages 786-809, October.
  19. 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.
  20. Enrique SENTANA, 2000. "The Likelihood Function of Conditionally Heteroskedastic Factor Models," Annales d'Economie et de Statistique, ENSAE, issue 58, pages 1-19.
  21. Enrique Sentana, 1999. "Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix," Spanish Economic Review, Springer, vol. 1(1), pages 79-90.
  22. 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 1101-18, November.
  23. 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.
  24. Demos, Antonis & Sentana, Enrique, 1998. "Testing for GARCH effects: a one-sided approach," Journal of Econometrics, Elsevier, vol. 86(1), pages 97-127, June.
  25. 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.
  26. 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 357-61, July.
  27. 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.
  28. Sentana, Enrique, 1997. "Multivariate Regression with Unequal Number of Observations—Solution," Econometric Theory, Cambridge University Press, vol. 13(04), pages 613-614, August.
  29. Sentana, Enrique, 1996. "Multivariate Regression with Unequal Number of Observations," Econometric Theory, Cambridge University Press, vol. 12(03), pages 586-587, August.
  30. Nijman, Theo & Sentana, Enrique, 1996. "Marginalization and contemporaneous aggregation in multivariate GARCH processes," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 71-87.
  31. Sentana, Enrique, 1995. "Quadratic ARCH Models," Review of Economic Studies, Wiley Blackwell, vol. 62(4), pages 639-61, October.
  32. King, Mervyn & Sentana, Enrique & Wadhwani, Sushil, 1994. "Volatility and Links between National Stock Markets," Econometrica, Econometric Society, vol. 62(4), pages 901-33, July.
  33. Enrique Sentana, 1993. "The econometrics of the stock market II: asset pricing," Investigaciones Economicas, Fundación SEPI, vol. 17(3), pages 421-444, September.
  34. Enrique Sentana, 1993. "The econometrics of the stock market I: rationality tests," Investigaciones Economicas, Fundación SEPI, vol. 17(3), pages 401-420, September.
  35. 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 415-25, March.
  36. 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.
  37. Sentana, Enrique & Wadhwani, Sushil, 1991. "Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan," Review of Economic Studies, Wiley Blackwell, vol. 58(3), pages 547-63, May.
  38. 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.

NEP Fields

30 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (3) 2007-10-13 2007-11-17 2008-08-21
  2. NEP-CFN: Corporate Finance (1) 2007-11-17
  3. NEP-ECM: Econometrics (20) 2004-01-25 2004-10-18 2004-10-18 2005-09-30 2006-01-31 2007-04-09 2007-10-13 2007-11-10 2007-11-10 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. Author is listed
  4. NEP-ETS: Econometric Time Series (12) 2004-01-25 2004-10-18 2005-10-24 2007-11-10 2007-11-10 2008-08-21 2010-01-16 2010-01-30 2010-04-11 2012-07-01 2013-02-08 2013-07-15. Author is listed
  5. NEP-FIN: Finance (6) 2004-10-18 2004-10-18 2004-10-18 2005-09-29 2006-01-29 2006-09-11. Author is listed
  6. NEP-FMK: Financial Markets (1) 2006-03-09
  7. NEP-IFN: International Finance (2) 2007-10-13 2007-11-17
  8. NEP-MON: Monetary Economics (3) 2007-10-13 2007-11-17 2008-08-21
  9. NEP-ORE: Operations Research (3) 2008-08-21 2010-08-06 2012-07-01
  10. NEP-RMG: Risk Management (1) 2012-07-01

Statistics

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Works
  3. Number of Distinct Works, Weighted by Simple Impact Factor
  4. Number of Distinct Works, Weighted by Recursive Impact Factor
  5. Number of Distinct Works, Weighted by Number of Authors
  6. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  7. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  8. Number of Citations
  9. Number of Citations, Discounted by Citation Age
  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. Wu-Index
  29. Strength of students

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