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Enrique Sentana

Personal Details

First Name:Enrique
Middle Name:
Last Name:Sentana
Suffix:
RePEc Short-ID:pse39
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

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

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

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

London, United Kingdom
http://www.cepr.org/
RePEc:edi:cebruuk (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, 2021. "Moment tests of independent components," Working Papers wp2021_2102, CEMFI.
  2. Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2021. "Aggregate output measurements: a common trend approach," Working Paper series 21-02, Rimini Centre for Economic Analysis.
  3. Amengual, Dante & Bei, Xinyue & Sentana, Enrique, 2020. "Hypothesis tests with a repeatedly singular information matrix," CEPR Discussion Papers 14415, C.E.P.R. Discussion Papers.
  4. Fiorentini, Gabriele & Sentana, Enrique, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," CEPR Discussion Papers 15411, C.E.P.R. Discussion Papers.
  5. Jan R. Magnus & Enrique Sentana, 2020. "Zero-diagonality as a linear structure," Tinbergen Institute Discussion Papers 20-039/III, Tinbergen Institute.
  6. Amengual, Dante & Sentana, Enrique & Tian, Zhanyuan, 2020. "Gaussian rank correlation and regression," CEPR Discussion Papers 14914, C.E.P.R. Discussion Papers.
  7. Jan R. Magnus & Henk G.J. Pijls & Enrique Sentana, 2020. "The Jacobian of the exponential function," Tinbergen Institute Discussion Papers 20-035/III, Tinbergen Institute.
  8. Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Working Paper series 19-01, Rimini Centre for Economic Analysis.
  9. Gabriele Fiorentini & Alessandro Galesi & Gabriel Pérez-Quirós & Enrique Sentana, 2018. "The Rise and Fall of the Natural Interest Rate," Working Paper series 18-29, Rimini Centre for Economic Analysis.
  10. Fiorentini, Gabriele & Sentana, Enrique, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
  11. Sentana, Enrique, 2018. "Volatility, diversification and contagion," CEPR Discussion Papers 12824, C.E.P.R. Discussion Papers.
  12. Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," Econometrics Working Papers Archive 2018_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  13. Manresa, Elena & Pe�aranda, Francisco & Sentana, Enrique, 2017. "Empirical Evaluation of Overspecified Asset Pricing Models," CEPR Discussion Papers 12085, C.E.P.R. Discussion Papers.
  14. Tincho Almuzara & Dante Amengual & Enrique Sentana, 2017. "Normality Tests for Latent Variables," Working Papers wp2017_1708, CEMFI.
  15. Dante Amengual & Marine Carrasco & Enrique Sentana, 2017. "Testing Distributional Assumptions Using a Continuum of Moments," Working Papers wp2017_1709, CEMFI.
  16. Mencía, Javier & Sentana, Enrique, 2015. "Volatility-related exchange traded assets: an econometric investigation," CEPR Discussion Papers 10444, C.E.P.R. Discussion Papers.
  17. Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2015. "Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation," Working Papers wp2015_1502, CEMFI.
  18. Enrique Sentana, 2015. "Finite Underidentification," Working Papers wp2015_1508, CEMFI.
  19. Amengual, Dante & Sentana, Enrique, 2015. "Is a normal copula the right copula?," CEPR Discussion Papers 10809, C.E.P.R. Discussion Papers.
  20. Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique, 2015. "A spectral EM algorithm for dynamic factor models," CEPR Discussion Papers 10417, C.E.P.R. Discussion Papers.
  21. Gabriele Fiorentini & Enrique Sentana, 2014. "Neglected Serial Correlation Tests in UCARIMA Models," Working Papers wp2014_1406, CEMFI.
  22. Gabriele Fiorentini & Enrique Sentana, 2013. "Dynamic Specification Tests for Dynamic Factor Models," Working Papers wp2013_1306, CEMFI.
  23. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
  24. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2012. "Sequential Estimation of Shape Parameters in Multivariate Dynamic Models," Working Papers wp2012_1201, CEMFI.
  25. Francisco Peñaranda & Enrique Sentana, 2010. "A Unifying Approach to the Empirical Evaluation of Asset Pricing Models," Working Papers wp2010_1004, CEMFI.
  26. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests for Static Factor Models," Working Papers wp2009_0912, CEMFI.
  27. Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009. "Underidentification? (Resumen)," Working Papers wp2009_0905, CEMFI.
  28. Javier Mencía & Enrique Sentana, 2009. "Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation," Working Papers 0909, Banco de España.
  29. Javier Mencía & Enrique Sentana, 2009. "Valuation of VIX Derivatives," Working Papers wp2009_0913, CEMFI.
  30. Javier Mencía & Enrique Sentana, 2009. "Distributional tests in multivariate dynamic models with Normal and Student t innovations," Working Papers 0929, Banco de España.
  31. Dante Amengual & Enrique Sentana, 2008. "A Comparison of Mean-Variance Efficiency Tests," Working Papers wp2008_0806, CEMFI.
  32. Enrique Sentana, 2008. "The Econometrics of Mean-Variance Efficiency Tests: A Survey," Working Papers wp2008_0807, CEMFI.
  33. 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.
  34. 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.
  35. 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.
  36. 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.
  37. 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.
  38. Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
  39. Enrique Sentana, 2004. "Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations," FMG Discussion Papers dp502, Financial Markets Group.
  40. 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.
  41. 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.
  42. 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.
  43. 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.
  44. Sentana, E., 2001. "Mean-Variance Portfolio Allocation with a Value at Risk Constraint," Papers 0105, Centro de Estudios Monetarios Y Financieros-.
  45. Gabriele Fiorentini & Enrique Sentana, 2001. "Constrained Indirect Inference Estimation," FMG Discussion Papers dp384, Financial Markets Group.
  46. Enrique Sentana, 2000. "Factor Representing Portfolios in Large Asset Markets.Versión Revisada," Working Papers wp2000_0001, CEMFI.
  47. Sentana, Enrique, 2000. "Did the EMS Reduce the Cost of Capital?," CEPR Discussion Papers 2640, C.E.P.R. Discussion Papers.
  48. Giorgio Calzolari & Gabriele Fiorentini & Enrique Sentana, 2000. "Constrained EMM and Indirect Inference Estimation. Versión Revisada," Working Papers wp2000_0005, CEMFI.
  49. 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-.
  50. Calzolari, G. & Fiorentini, G. & Sentana, E., 2000. "Constrained EMM and Indirect Inference Estimation," Papers 0005, Centro de Estudios Monetarios Y Financieros-.
  51. Manuel Arellano & Lars P. Hansen & Enrique Sentana, 2000. "Underidentification?," Econometric Society World Congress 2000 Contributed Papers 1824, Econometric Society.
  52. 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.
  53. Sentana, E., 2000. "Factor Representing Portfolios in Large Asset Markets," Papers 0001, Centro de Estudios Monetarios Y Financieros-.
  54. Sentana, Enrique, 1999. "Least Squares Predictions and Mean-Variance Analysis," CEPR Discussion Papers 2088, C.E.P.R. Discussion Papers.
  55. Enrique Sentana, 1997. "Risk and Return in the Spanish Stock Market: Some Evidence from Individual Assets," Working Papers wp1997_9702, CEMFI.
  56. Enrique Sentana, 1997. "Least Squares Predictions and Mean-Variance Analysis. Versión Revisada," Working Papers wp1997_9711, CEMFI.
  57. Sentana, E. & Fiorentini, G., 1997. "Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model," Papers 9709, Centro de Estudios Monetarios Y Financieros-.
  58. Enrique Sentana & Gabriele Fiorentini, 1997. "Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada," Working Papers wp1997_9709, CEMFI.
  59. Sentana, E., 1997. "The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models," Papers 9719, Centro de Estudios Monetarios Y Financieros-.
  60. Angel León & Enrique Sentana, 1997. "Pricing Options on Assets with Predictable White Noise Returns," FMG Discussion Papers dp267, Financial Markets Group.
  61. 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-.
  62. Demos, A & Sentana, E, 1996. "An EM Algorithm for Conditionally Heteroskedastic Factor Models," Papers 9615, Centro de Estudios Monetarios Y Financieros-.
  63. Antonis Demos & Enrique Sentana, 1996. "Testing for GARCH Effects: A One-Sided Approach," Working Papers wp1996_9611, CEMFI.
  64. Enrique Sentana & Mustaq Shah & Sushil Wadhwani, 1995. "Has the EMS Reduced the Cost of Capital? Versión Revisada," Working Papers wp1995_9514, CEMFI.
  65. Enrique Sentana, 1995. "Risk and Return in the Spanish Stock Market," FMG Discussion Papers dp212, Financial Markets Group.
  66. Sentana,E., 1995. "Quadratic Arch Models," Papers 9517, Centro de Estudios Monetarios Y Financieros-.
  67. Sentana, E. & Shah, M. & Wadhwani, S., 1995. "Has the EMS Reduced the Cost of Capital?," Papers 9514, Centro de Estudios Monetarios Y Financieros-.
  68. Enrique Sentana, 1995. "Riesgo y rentabilidad en el mercado de valores español," Working Papers wp1995_9507, CEMFI.
  69. Nijman, T. & Sentana, E., 1994. "Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses," Papers 9419, Centro de Estudios Monetarios Y Financieros-.
  70. Sentana, E. & Shah, M., 1994. "An Index of Co-Movements in Financial Time Series," Papers 9415, Centro de Estudios Monetarios Y Financieros-.
  71. Sentana, E., 1994. "The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases," Papers 9420, Centro de Estudios Monetarios Y Financieros-.
  72. 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-.
  73. 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. 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.
  2. Magnus, Jan R. & Sentana, Enrique, 2020. "Zero-diagonality as a linear structure," Economics Letters, Elsevier, vol. 196(C).
  3. 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.
  4. Martín Almuzara & Dante Amengual & Enrique Sentana, 2019. "Normality tests for latent variables," Quantitative Economics, Econometric Society, vol. 10(3), pages 981-1017, July.
  5. 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.
  6. Fiorentini, Gabriele & Sentana, Enrique, 2019. "Consistent non-Gaussian pseudo maximum likelihood estimators," Journal of Econometrics, Elsevier, vol. 213(2), pages 321-358.
  7. 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.
  8. 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.
  9. 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.
  10. 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, Society for Financial Econometrics, vol. 14(2), pages 248-252.
  11. Peñaranda, Francisco & Sentana, Enrique, 2016. "Duality in mean-variance frontiers with conditioning information," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 762-785.
  12. 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.
  13. Gabriele Fiorentini & Enrique Sentana, 2014. "Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 193-198, April.
  14. 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.
  15. Mencía, Javier & Sentana, Enrique, 2013. "Valuation of VIX derivatives," Journal of Financial Economics, Elsevier, vol. 108(2), pages 367-391.
  16. 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.
  17. Arellano, Manuel & Hansen, Lars Peter & Sentana, Enrique, 2012. "Underidentification?," Journal of Econometrics, Elsevier, vol. 170(2), pages 256-280.
  18. 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.
  19. 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.
  20. Amengual, Dante & Sentana, Enrique, 2010. "A comparison of mean-variance efficiency tests," Journal of Econometrics, Elsevier, vol. 154(1), pages 16-34, January.
  21. Enrique Sentana, 2009. "The econometrics of mean-variance efficiency tests: a survey," Econometrics Journal, Royal Economic Society, vol. 12(3), pages 65-101, November.
  22. 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.
  23. 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.
  24. 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.
  25. Enrique Sentana, 2005. "Least Squares Predictions and Mean-Variance Analysis," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 3(1), pages 56-78.
  26. 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.
  27. Sentana, Enrique, 2004. "Factor representing portfolios in large asset markets," Journal of Econometrics, Elsevier, vol. 119(2), pages 257-289, April.
  28. 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.
  29. Giorgio Calzolari & Gabriele Fiorentini & Enrique Sentana, 2004. "Constrained Indirect Estimation," Review of Economic Studies, Oxford University Press, vol. 71(4), pages 945-973.
  30. 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.
  31. Enrique Sentana, 2002. "Did the EMS Reduce the Cost of Capital?," Economic Journal, Royal Economic Society, vol. 112(482), pages 786-809, October.
  32. 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.
  33. Enrique Sentana, 2000. "The Likelihood Function of Conditionally Heteroskedastic Factor Models," Annals of Economics and Statistics, GENES, issue 58, pages 1-19.
  34. 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.
  35. 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.
  36. 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.
  37. 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.
  38. 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.
  39. Demos, Antonis & Sentana, Enrique, 1998. "Testing for GARCH effects: a one-sided approach," Journal of Econometrics, Elsevier, vol. 86(1), pages 97-127, June.
  40. 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.
  41. Nijman, Theo & Sentana, Enrique, 1996. "Marginalization and contemporaneous aggregation in multivariate GARCH processes," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 71-87.
  42. Enrique Sentana, 1995. "Quadratic ARCH Models," Review of Economic Studies, Oxford University Press, vol. 62(4), pages 639-661.
  43. King, Mervyn & Sentana, Enrique & Wadhwani, Sushil, 1994. "Volatility and Links between National Stock Markets," Econometrica, Econometric Society, vol. 62(4), pages 901-933, July.
  44. Enrique Sentana, 1993. "The econometrics of the stock market I: rationality tests," Investigaciones Economicas, Fundación SEPI, vol. 17(3), pages 401-420, September.
  45. Enrique Sentana, 1993. "The econometrics of the stock market II: asset pricing," Investigaciones Economicas, Fundación SEPI, vol. 17(3), pages 421-444, September.
  46. 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.
  47. 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.
  48. Enrique Sentana & Sushil Wadhwani, 1991. "Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan," Review of Economic Studies, Oxford University Press, vol. 58(3), pages 547-563.
  49. 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. Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2016. "Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation," Advances in Econometrics, in: Eric Hillebrand & Siem Jan Koopman (ed.), Dynamic Factor Models, volume 35, pages 215-282, Emerald Publishing Ltd.

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 70 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 (37) 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. Author is listed
  2. NEP-ORE: Operations Research (33) 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. Author is listed
  3. NEP-ETS: Econometric Time Series (25) 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. Author is listed
  4. NEP-MAC: Macroeconomics (14) 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. 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-CBA: Central Banking (5) 2007-10-13 2007-11-17 2008-08-21 2015-03-05 2015-03-13. Author is listed
  7. NEP-EEC: European Economics (4) 2015-03-05 2015-03-13 2018-08-13 2018-11-12
  8. NEP-RMG: Risk Management (4) 2012-07-01 2015-03-13 2019-01-14 2019-02-25
  9. NEP-FMK: Financial Markets (3) 2006-01-29 2006-09-11 2017-06-18
  10. NEP-FOR: Forecasting (3) 2019-01-14 2019-01-21 2019-02-25
  11. NEP-HIS: Business, Economic & Financial History (3) 2018-08-13 2018-11-12 2018-11-19
  12. NEP-IFN: International Finance (2) 2007-10-13 2007-11-17
  13. NEP-MFD: Microfinance (2) 2015-03-05 2015-03-05
  14. NEP-CFN: Corporate Finance (1) 2007-11-17
  15. NEP-NET: Network Economics (1) 2021-03-29

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