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Information about:
Enrique Sentana

Personal Details | Affiliation | Works
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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

(in no particular order)

Lists

This author is among the top 5% authors according to these criteria:
  1. Number of Works
  2. Number of Distinct Works, Weighted by Simple Impact Factor
  3. Number of Distinct Works, Weighted by Recursive Impact Factor
  4. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  5. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  6. Number of Citations, Weighted by Simple Impact Factor
  7. Number of Journal Pages, Weighted by Simple Impact Factor
  8. Number of Journal Pages, Weighted by Recursive Impact Factor
  9. Number of Journal Pages, Weighted by Number of Authors
  10. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  11. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  12. Wu-Index

Works

| Working papers | Articles | Editor | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Javier Mencía & Enrique Sentana, 2009. "Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation," Banco de España Working Papers 0909, Banco de España. [Downloadable!]

  2. Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009. "Underidentification?," Working Papers wp2009_0905, CEMFI. [Downloadable!]

  3. Enrique Sentana & Javier Mencía, 2008. "Distributional Tests In Multivariate Dynamic Models With Normal And Student T Innovations," Working Papers wp2008_0804, CEMFI. [Downloadable!]

  4. Enrique Sentana & Dante Amegual, 2008. "A Comparison Of Mean-Variance Efficiency Tests," Working Papers wp2008_0806, CEMFI. [Downloadable!]

  5. Enrique Sentana, 2008. "The Econometrics Of Mean-Variance Efficiency Tests: A Survey," Working Papers wp2008_0807, CEMFI. [Downloadable!]

  6. Enrique Sentana & Javier Mencía, 2008. "Multivariate Location-Scale Mixtures Of Normals And Mean-Variance-Skwness Portfolio Allocation," Working Papers wp2008_0805, CEMFI. [Downloadable!]

  7. 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, Rimini Centre for Economic Analysis, revised Jul 2007. [Downloadable!]
    Other versions:

  8. 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. [Downloadable!] (restricted)
    Other versions:

  9. 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, revised Jul 2007. [Downloadable!]
    Published as:

  10. 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. [Downloadable!]
    Other versions:

  11. 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. [Downloadable!] (restricted)
    Other versions:
    Published as:

  12. Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation Of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI. [Downloadable!]

  13. Enrique Sentana, 2004. "Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations," FMG Discussion Papers dp502, Financial Markets Group. [Downloadable!] (restricted)
    Other versions:

  14. 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. [Downloadable!] (restricted)
    Other versions:

  15. 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. [Downloadable!]
    Other versions:
    Published as:

  16. Gabriele Fiorentini & Enrique Sentana, 2001. "Constrained Indirect Inference Estimation," FMG Discussion Papers dp384, Financial Markets Group. [Downloadable!] (restricted)

  17. Sentana, E., 2001. "Mean-Variance Portfolio Allocation with a Value at Risk Constraint," Papers 0105, Centro de Estudios Monetarios Y Financieros-.
    Other versions:

  18. 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-.

  19. Calzolari, G. & Fiorentini, G. & Sentana, E., 2000. "Constrained EMM and Indirect Inference Estimation," Papers 0005, Centro de Estudios Monetarios Y Financieros-.
    Other versions:

  20. 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). [Downloadable!]

  21. Sentana, Enrique, 2000. "Did the EMS Reduce the Cost of Capital?," CEPR Discussion Papers 2640, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Published as:

  22. Manuel Arellano & Lars P. Hansen & Enrique Sentana, 2000. "Underidentification?," Econometric Society World Congress 2000 Contributed Papers 1824, Econometric Society. [Downloadable!]

  23. Sentana, E., 2000. "Factor Representing Portfolios in Large Asset Markets," Papers 0001, Centro de Estudios Monetarios Y Financieros-.
    Published as:

  24. Sentana, Enrique, 1999. "Least Squares Predictions and Mean-Variance Analysis," CEPR Discussion Papers 2088, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
    Published as:

  25. Angel León & Enrique Sentana, 1997. "Pricing Options on Assets with Predictable White Noise Returns," FMG Discussion Papers dp267, Financial Markets Group. [Downloadable!] (restricted)

  26. Sentana, E., 1997. "The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models," Papers 9719, Centro de Estudios Monetarios Y Financieros-.
    Published as:

  27. Sentana, E. & Fiorentini, G., 1997. "Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model," Papers 9709, Centro de Estudios Monetarios Y Financieros-.
    Published as:

  28. 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-.
    Published as:

  29. Demos, A & Sentana, E, 1996. "An EM Algorithm for Conditionally Heteroskedastic Factor Models," Papers 9615, Centro de Estudios Monetarios Y Financieros-.
    Published as:

  30. Sentana, E. & Shah, M. & Wadhwani, S., 1995. "Has the EMS Reduced the Cost of Capital?," Papers 9514, Centro de Estudios Monetarios Y Financieros-.

  31. Enrique Sentana, 1995. "Risk and Return in the Spanish Stock Market," FMG Discussion Papers dp212, Financial Markets Group. [Downloadable!] (restricted)

  32. Sentana,E., 1995. "Quadratic Arch Models," Papers 9517, Centro de Estudios Monetarios Y Financieros-.
    Published as:

  33. Sentana, E., 1994. "The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases," Papers 9420, Centro de Estudios Monetarios Y Financieros-.

  34. Nijman, T. & Sentana, E., 1994. "Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses," Papers 9419, Centro de Estudios Monetarios Y Financieros-.
    Other versions:
    Published as:

  35. 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-.

  36. Sentana, E. & Shah, M., 1994. "An Index of Co-Movements in Financial Time Series," Papers 9415, Centro de Estudios Monetarios Y Financieros-.

  37. Mervyn King & Enrique Sentana & Sushil Wadhwani, 1990. "Volatiltiy and Links Between National Stock Markets," NBER Working Papers 3357, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

Articles

  1. 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. [Downloadable!] (restricted)
    Other versions:

  2. 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. [Downloadable!] (restricted)
    Other versions:

  3. Enrique Sentana, 2005. "Least Squares Predictions and Mean-Variance Analysis," Journal of Financial Econometrics, Oxford University Press, vol. 3(1), pages 56-78. [Downloadable!] (restricted)
    Other versions:

  4. 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. [Downloadable!] (restricted)

  5. Sentana, Enrique, 2004. "Factor representing portfolios in large asset markets," Journal of Econometrics, Elsevier, vol. 119(2), pages 257-289, April. [Downloadable!] (restricted)
    Other versions:

  6. 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. [Downloadable!] (restricted)
    Other versions:

  7. Giorgio Calzolari & Gabriele Fiorentini & Enrique Sentana, 2004. "Constrained Indirect Estimation," Review of Economic Studies, Blackwell Publishing, vol. 71(4), pages 945-973, October. [Downloadable!] (restricted)

  8. 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.

  9. Enrique Sentana, 2002. "Did the EMS Reduce the Cost of Capital?," Economic Journal, Royal Economic Society, vol. 112(482), pages 786-809, October. [Downloadable!] (restricted)
    Other versions:

  10. 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. [Downloadable!] (restricted)
    Other versions:

  11. Enrique Sentana, 2000. "The Likelihood Function of Conditionally Heteroskedastic Factor Models," Annales d'Economie et de Statistique, ADRES, issue 58, pages 02, Avril-Jui. [Downloadable!]

  12. 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. [Downloadable!] (restricted)

  13. 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.
    Other versions:

  14. 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.
    Other versions:

  15. 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.
    Other versions:

  16. 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. [Downloadable!]

  17. Demos, Antonis & Sentana, Enrique, 1998. "Testing for GARCH effects: a one-sided approach," Journal of Econometrics, Elsevier, vol. 86(1), pages 97-127, June. [Downloadable!] (restricted)

  18. Sentana, Enrique, 1997. "Multivariate Regression with Unequal Number of Observations?Solution," Econometric Theory, Cambridge University Press, vol. 13(04), pages 613-614, August. [Downloadable!]

  19. 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. [Downloadable!]

  20. Nijman, Theo & Sentana, Enrique, 1996. "Marginalization and contemporaneous aggregation in multivariate GARCH processes," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 71-87. [Downloadable!] (restricted)
    Other versions:

  21. Sentana, Enrique, 1996. "Multivariate Regression with Unequal Number of Observations," Econometric Theory, Cambridge University Press, vol. 12(03), pages 586-587, August. [Downloadable!]

  22. Sentana, Enrique, 1995. "Quadratic ARCH Models," Review of Economic Studies, Blackwell Publishing, vol. 62(4), pages 639-61, October. [Downloadable!] (restricted)
    Other versions:

  23. King, Mervyn & Sentana, Enrique & Wadhwani, Sushil, 1994. "Volatility and Links between National Stock Markets," Econometrica, Econometric Society, vol. 62(4), pages 901-33, July. [Downloadable!] (restricted)
    Other versions:

  24. Enrique Sentana, 1993. "The econometrics of the stock market I: rationality tests," Investigaciones Economicas, Fundación SEPI, vol. 17(3), pages 401-420, September. [Downloadable!]

  25. Enrique Sentana, 1993. "The econometrics of the stock market II: asset pricing," Investigaciones Economicas, Fundación SEPI, vol. 17(3), pages 421-444, September. [Downloadable!]

  26. 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. [Downloadable!] (restricted)

  27. 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. [Downloadable!] (restricted)

  28. Sentana, Enrique & Wadhwani, Sushil, 1991. "Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan," Review of Economic Studies, Blackwell Publishing, vol. 58(3), pages 547-63, May. [Downloadable!] (restricted)

  29. 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. [Downloadable!]

Editor

  1. Review of Economic Studies, Blackwell Publishing.

NEP Fields

20 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 (12) 2004-01-25 2004-10-18 2004-10-18 2005-09-29 2006-01-29 2007-04-09 2007-10-13 2007-11-10 2007-11-10 2007-11-17 2008-07-30 2009-10-24 Author is listed
  4. NEP-ETS: Econometric Time Series (6) 2004-01-25 2004-10-18 2005-09-29 2007-11-10 2007-11-10 2008-08-21 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 (2) 2006-01-29 2006-09-11
  7. NEP-IFN: International Finance (3) 2007-10-13 2007-11-17 2008-07-30
  8. NEP-MON: Monetary Economics (3) 2007-10-13 2007-11-17 2008-08-21
  9. NEP-ORE: Operations Research (1) 2008-08-21
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This page was last updated on 2009-11-12.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.