# Enrique Sentana

### Contents:

This is information that was supplied by Enrique Sentana in registering
through RePEc. If you are Enrique Sentana , you may change this information at the
RePEc Author Service. Or if
you are not registered and would like to be listed as well, register at the RePEc Author Service. When you
register or update your RePEc registration, you may identify the papers and articles you have
authored.

## 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 |

Madrid, Spain

http://www.cemfi.es/

: 914290551

914291056

Casado del Alisal, 5, 28014 Madrid

RePEc:edi:cemfies (more details at EDIRC)

http://www.cemfi.es/

: 914290551

914291056

Casado del Alisal, 5, 28014 Madrid

RePEc:edi:cemfies (more details at EDIRC)

London, United Kingdom

http://www.cepr.org/

: +44 (0)20 7183 8801

+44 (0)20 7183 8820

3rd Floor, 77 Bastwick Street, London EC1V 3PZ

RePEc:edi:cebruuk (more details at EDIRC)

http://www.cepr.org/

: +44 (0)20 7183 8801

+44 (0)20 7183 8820

3rd Floor, 77 Bastwick Street, London EC1V 3PZ

RePEc:edi:cebruuk (more details at EDIRC)

London, United Kingdom

http://fmg.lse.ac.uk/

: 020-7955-7002

020-7242-1006

Houghton Street, London WC2A 2AE

RePEc:edi:fmlseuk (more details at EDIRC)

http://fmg.lse.ac.uk/

: 020-7955-7002

020-7242-1006

Houghton Street, London WC2A 2AE

RePEc:edi:fmlseuk (more details at EDIRC)

- 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.- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2014.
"
**A Spectral Em Algorithm For Dynamic Factor Models**," Working Papers wp2014_1411, CEMFI.

- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2014.
"
- Amengual, Dante & Sentana, Enrique, 2015.
"
**Is a normal copula the right copula?**," CEPR Discussion Papers 10809, C.E.P.R. Discussion Papers.- Dante Amengual & Enrique Sentana, 2015.
"
**Is A Normal Copula The Right Copula?**," Working Papers wp2015_1504, CEMFI.

- Dante Amengual & Enrique Sentana, 2015.
"
- Mencía, Javier & Sentana, Enrique, 2015.
"
**Volatility-related exchange traded assets: an econometric investigation**," CEPR Discussion Papers 10444, C.E.P.R. Discussion Papers.- Javier Mencía & Enrique Sentana, 2015.
"
**Volatility-Related Exchange Traded Assets: An Econometric Investigation**," Working Papers wp2015_1501, CEMFI.

- Javier Mencía & Enrique Sentana, 2015.
"
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2015.
"
**Fast Ml Estimation Of Dynamic Bifactor Models: An Application To European Inflation**," Working Papers wp2015_1502, CEMFI.- 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;Working Papers Homepage. - Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique, 2015.
"
**Fast ML estimation of dynamic bifactor models: an application to European inflation**," CEPR Discussion Papers 10461, C.E.P.R. Discussion Papers.

- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2015.
"
- Gabriele Fiorentini & Enrique Sentana, 2014.
"
**Neglected Serial Correlation Tests In Ucarima Models**," Working Papers wp2014_1406, CEMFI.- 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.

- Gabriele Fiorentini & Enrique Sentana, 2016.
"
- Gabriele Fiorentini & Enrique Sentana, 2013.
"
**Dynamic Specification Tests For Dynamic Factor Models**," Working Papers wp2013_1306, CEMFI. - Gabriele Fiorentini & Enrique Sentana, 2012.
"
**Tests For Serial Dependence In Static, Non-Gaussian Factor Models**," Working Papers wp2012_1211, CEMFI. - Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2012.
"
**Sequential Estimation Of Shape Parameters In Multivariate Dynamic Models**," Working Papers wp2012_1201, CEMFI.- 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.

- Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2013.
"
- Francisco Peñaranda & Enrique Sentana, 2010.
"
**A Unifying Approach To The Empirical Evaluation Of Asset Pricing Models**," Working Papers wp2010_1004, CEMFI.- 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.

- Francisco Peñaranda & Enrique Sentana, 2010.
"
**A Unifying Approach to the Empirical Evaluation of Asset Pricing Models**," Working Papers 488, Barcelona Graduate School of Economics. - Peñaranda, Francisco & Sentana, Enrique, 2010.
"
**A Unifying Approach to the Empirical Evaluation of Asset Pricing Models**," CEPR Discussion Papers 7943, C.E.P.R. Discussion Papers. - Francisco Peñaranda & Enrique Sentana, 2010.
"
**A unifying approach to the empirical evaluation of asset pricing models**," Economics Working Papers 1229, Department of Economics and Business, Universitat Pompeu Fabra.

- Francisco Peñaranda & Enrique Sentana, 2015.
"
- Gabriele Fiorentini & Enrique Sentana, 2009.
"
**Dynamic Specification Tests For Static Factor Models**," Working Papers wp2009_0912, CEMFI.- Gabriele Fiorentini & Enrique Sentana, 2010.
"
**Dynamic Specification Tests for Static Factor Models**," Working Paper Series 04_10, The Rimini Centre for Economic Analysis.

- Gabriele Fiorentini & Enrique Sentana, 2010.
"
- Javier Mencía & Enrique Sentana, 2009.
"
**Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation**," Working Papers 0909, Banco de España;Working Papers Homepage.- 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.

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

- Mencía, Javier & Sentana, Enrique, 2009.
"
- Javier Mencía & Enrique Sentana, 2009.
"
**Valuation Of Vix Derivatives**," Working Papers wp2009_0913, CEMFI.- Mencía, Javier & Sentana, Enrique, 2013.
"
**Valuation of VIX derivatives**," Journal of Financial Economics, Elsevier, vol. 108(2), pages 367-391.

- Mencía, Javier & Sentana, Enrique, 2010.
"
**Valuation of VIX Derivatives**," CEPR Discussion Papers 7619, C.E.P.R. Discussion Papers. - Javier Mencía & Enrique Sentana, 2012.
"
**Valuation of vix derivatives**," Working Papers 1232, Banco de España;Working Papers Homepage.

- Mencía, Javier & Sentana, Enrique, 2013.
"
- Enrique Sentana & Dante Amegual, 2008.
"
**A Comparison Of Mean-Variance Efficiency Tests**," Working Papers wp2008_0806, CEMFI.- Amengual, Dante & Sentana, Enrique, 2010.
"
**A comparison of mean-variance efficiency tests**," Journal of Econometrics, Elsevier, vol. 154(1), pages 16-34, January.

- Amengual, Dante & Sentana, Enrique, 2010.
"
- Enrique Sentana & Javier Mencía, 2008.
"
**Distributional Tests In Multivariate Dynamic Models With Normal And Student T Innovations**," Working Papers wp2008_0804, CEMFI.- 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.

- Javier Mencía & Enrique Sentana, 2009.
"
**Distributional tests in multivariate dynamic models with Normal and Student t innovations**," Working Papers 0929, Banco de España;Working Papers Homepage.

- Javier Mencía & Enrique Sentana, 2012.
"
- Enrique Sentana, 2008.
"
**The Econometrics Of Mean-Variance Efficiency Tests: A Survey**," Working Papers wp2008_0807, CEMFI.- Enrique Sentana, 2009.
"
**The econometrics of mean-variance efficiency tests: a survey**," Econometrics Journal, Royal Economic Society, vol. 12(3), pages C65-C101, November.

- Enrique Sentana, 2009.
"
- 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.- 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.

- Sentana, Enrique & Calzolari, Giorgio & Fiorentini, Gabriele, 2008.
"
- Enrique Sentana & Gabriele Fiorentini, 2007.
"
**On The Efficiency And Consistency Of Likelihood Estimation In Multivariate Conditionally Heteroskedastic Dynamic Regression Models**," Working Papers wp2007_0713, CEMFI.- 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.

- Gabriele Fiorentini & Enrique Sentana, 2007.
"
- 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.- 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.

- Enrique Sentana & Antonio Diez de los Rios, 2007.
"
**Testing Uncovered Interest Parity: A Continuous-Time Approach**," Working Papers wp2007_0714, CEMFI. - Antonio Diez de los Rios & Enrique Sentana, 2007.
"
**Testing Uncovered Interest Parity: A Continuous-Time Approach**," Staff Working Papers 07-53, Bank of Canada.

- Antonio Diez de los Rios & Enrique Sentana, 2011.
"
- 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.- Peñaranda, Francisco & Sentana, Enrique, 2007.
"
**Duality in Mean-Variance Frontiers with Conditioning Information**," CEPR Discussion Papers 6566, C.E.P.R. Discussion Papers. - Enrique Sentana & Francisco Peñaranda, 2007.
"
**Duality In Mean-Variance Frontiers With Conditioning Information**," Working Papers wp2007_0715, CEMFI.

- Peñaranda, Francisco & Sentana, Enrique, 2007.
"
- 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.- LeÃ³n, Ã ngel & MencÃa, 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.

- Ángel León & Javier Mencía & Enrique Sentana, 2007.
"
**Parametric properties of semi-nonparametric distributions, with applications to option valuation**," Working Papers 0707, Banco de España;Working Papers Homepage. - Ángel León & Javier Mencía & Enrique Sentana, 2005.
"
**Parametric Properties Of Semi-Nonparametric Distributions, With Applications To Option Valuation**," Working Papers wp2005_0509, CEMFI.

- LeÃ³n, Ã ngel & MencÃa, Javier & Sentana, Enrique, 2009.
"
- Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004.
"
**Indirect Estimation Of Conditionally Heteroskedastic Factor Models**," Working Papers wp2004_0409, CEMFI. - Enrique Sentana, 2004.
"
**Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations**," FMG Discussion Papers dp502, Financial Markets Group.- Francisco Javier Mencía & Enrique Sentana, 2004.
"
**Estimation And Testing Of Dynamic Models With Generalised Hyperbolic Innovations**," Working Papers wp2004_0411, CEMFI. - Javier F. Mencia & Enrique Sentana, 2004.
"
**Estimation and testing of dynamic models with generalised hyperbolic innovations**," LSE Research Online Documents on Economics 24742, London School of Economics and Political Science, LSE Library. - Mencía, Javier & Sentana, Enrique, 2005.
"
**Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations**," CEPR Discussion Papers 5177, C.E.P.R. Discussion Papers.

- Francisco Javier Mencía & Enrique Sentana, 2004.
"
- 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.- 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.

- Francisco Peñaranda & Enrique Sentana, 2008.
"
**Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach**," Economics Working Papers 1101, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2010. - Peñaranda, Francisco & Sentana, Enrique, 2004.
"
**Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach**," CEPR Discussion Papers 4422, C.E.P.R. Discussion Papers. - Francisco Peñaranda & Enrique Sentana, 2004.
"
**Spanning Tests In Return And Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach**," Working Papers wp2004_0410, CEMFI.

- Peñaranda, Francisco & Sentana, Enrique, 2012.
"
- 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. - 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.- 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.

- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2003.
"
**Likelihood-based estimation of latent generalised ARCH structures**," LSE Research Online Documents on Economics 24852, London School of Economics and Political Science, LSE Library. - Neil Shephard & Gabriele Fiorentini Enrique Sentana, 2002.
"
**Likelihood-based estimation of latent generalised ARCH structures**," Economics Series Working Papers 2002-W19, University of Oxford, Department of Economics. - Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2003.
"
**Likelihood-Based Estimation Of Latent Generalised Arch Structures**," Working Papers. Serie AD 2003-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). - Neil Shephard & Gabriele Fiorentini & Enrique Sentana, 2003.
"
**Likelihood-based estimation of latent generalised ARCH structures**," FMG Discussion Papers dp453, Financial Markets Group. - Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004.
"
**Likelihood-based estimation of latent generalised ARCH structures**," OFRC Working Papers Series 2004fe02, Oxford Financial Research Centre.

- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004.
"
- Gabriele Fiorentini & Enrique Sentana, 2001.
"
**Constrained Indirect Inference Estimation**," FMG Discussion Papers dp384, Financial Markets Group.- Giorgio Calzorali & Gabriele Fiorentini & Enrique Sentana, 2001.
"
**Constrained indirect inference estimation**," LSE Research Online Documents on Economics 25061, London School of Economics and Political Science, LSE Library.

- Giorgio Calzorali & Gabriele Fiorentini & Enrique Sentana, 2001.
"
- Sentana, E., 2001.
"
**Mean-Variance Portfolio Allocation with a Value at Risk Constraint**," Papers 0105, Centro de Estudios Monetarios Y Financieros-.- Enrique Sentana & Enrique Sentana, 2001.
"
**Mean-Variance Portfolio allocation with a Value at Risk Constraint**," FMG Discussion Papers dp380, Financial Markets Group. - Enrique Sentana, 2001.
"
**Mean-variance portfolio allocation with a value at risk constraint**," LSE Research Online Documents on Economics 25058, London School of Economics and Political Science, LSE Library. - Sentana, Enrique, 2001.
"
**Mean Variance Portfolio Allocation with a Value at Risk Constraint**," CEPR Discussion Papers 2997, C.E.P.R. Discussion Papers.

- Enrique Sentana & Enrique Sentana, 2001.
"
- Sentana, Enrique, 2000.
"
**Did the EMS Reduce the Cost of Capital?**," CEPR Discussion Papers 2640, C.E.P.R. Discussion Papers.- Enrique Sentana, 2002.
"
**Did the EMS Reduce the Cost of Capital?**," Economic Journal, Royal Economic Society, vol. 112(482), pages 786-809, October.

- Enrique Sentana, 2002.
"
- Calzolari, G. & Fiorentini, G. & Sentana, E., 2000.
"
**Constrained EMM and Indirect Inference Estimation**," Papers 0005, Centro de Estudios Monetarios Y Financieros-.- Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari, 2000.
"
**Constrained Emm And Indirect Inference Estimation**," Working Papers. Serie AD 2000-26, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).

- Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari, 2000.
"
- 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-. - Manuel Arellano & Lars P. Hansen & Enrique Sentana, 2000.
"
**Underidentification?**," Econometric Society World Congress 2000 Contributed Papers 1824, Econometric Society.- Arellano, Manuel & Hansen, Lars Peter & Sentana, Enrique, 2012.
"
**Underidentification?**," Journal of Econometrics, Elsevier, vol. 170(2), pages 256-280.

- Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009.
"
**Underidentification?**," CeMMAP working papers CWP24/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. - Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009.
"
**Underidentification?**," Working Papers wp2009_0905, CEMFI.

- Arellano, Manuel & Hansen, Lars Peter & Sentana, Enrique, 2012.
"
- Sentana, E., 2000.
"
**Factor Representing Portfolios in Large Asset Markets**," Papers 0001, Centro de Estudios Monetarios Y Financieros-.- Sentana, Enrique, 2004.
"
**Factor representing portfolios in large asset markets**," Journal of Econometrics, Elsevier, vol. 119(2), pages 257-289, April.

- Sentana, Enrique, 2004.
"
- 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). - Sentana, Enrique, 1999.
"
**Least Squares Predictions and Mean-Variance Analysis**," CEPR Discussion Papers 2088, C.E.P.R. Discussion Papers.- Enrique Sentana, 2005.
"
**Least Squares Predictions and Mean-Variance Analysis**," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 3(1), pages 56-78.

- Enrique Sentana & Enrique Sentana, 1999.
"
**Least Squares Predictions and Mean-Variance Analysis**," FMG Discussion Papers dp312, Financial Markets Group. - Sentana, E., 1997.
"
**Least Squares Predictions and Mean-Variance Analysis**," Papers 9711, Centro de Estudios Monetarios Y Financieros-.

- Enrique Sentana, 2005.
"
- Angel León & Enrique Sentana, 1997.
"
**Pricing Options on Assets with Predictable White Noise Returns**," FMG Discussion Papers dp267, Financial Markets Group. - Sentana, E. & Fiorentini, G., 1997.
"
**Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model**," Papers 9709, Centro de Estudios Monetarios Y Financieros-.- 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.

- Gabriele Fiorentini & Enrique Sentana Iváñez, 1997.
"
**Identification, estimation and testing of conditionally heteroskedastic factor models**," Working Papers. Serie AD 1997-22, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).

- Sentana, Enrique & Fiorentini, Gabriele, 2001.
"
- Sentana, E., 1997.
"
**The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models**," Papers 9719, Centro de Estudios Monetarios Y Financieros-.- 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.

- Enrique Sentana, 1998.
"
- Demos, A & Sentana, E, 1996.
"
**An EM Algorithm for Conditionally Heteroskedastic Factor Models**," Papers 9615, Centro de Estudios Monetarios Y Financieros-.- 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.

- Demos, Antonis & Sentana, Enrique, 1998.
"
- 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-.- 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.

- Gabriele Fiorentini & Enrique Sentana Iváñez, 1997.
"
**Conditional means of time series processes and time series processes for conditional means**," Working Papers. Serie AD 1997-17, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).

- Fiorentini, Gabriele & Sentana, Enrique, 1998.
"
- Sentana, E. & Shah, M. & Wadhwani, S., 1995.
"
**Has the EMS Reduced the Cost of Capital?**," Papers 9514, Centro de Estudios Monetarios Y Financieros-. - Enrique Sentana, 1995.
"
**Risk and Return in the Spanish Stock Market**," FMG Discussion Papers dp212, Financial Markets Group. - Sentana,E., 1995.
"
**Quadratic Arch Models**," Papers 9517, Centro de Estudios Monetarios Y Financieros-.- Enrique Sentana, 1995.
"
**Quadratic ARCH Models**," Review of Economic Studies, Oxford University Press, vol. 62(4), pages 639-661.

- Enrique Sentana, 1995.
"
- Sentana, E., 1994.
"
**The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases**," Papers 9420, Centro de Estudios Monetarios Y Financieros-. - 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-. - Sentana, E. & Shah, M., 1994.
"
**An Index of Co-Movements in Financial Time Series**," Papers 9415, Centro de Estudios Monetarios Y Financieros-. - Nijman, T. & Sentana, E., 1994.
"
**Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses**," Papers 9419, Centro de Estudios Monetarios Y Financieros-.- Nijman, Theo & Sentana, Enrique, 1996.
"
**Marginalization and contemporaneous aggregation in multivariate GARCH processes**," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 71-87.

- Nijman, T. & Sentana, E., 1993.
"
**Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes**," Papers 9312, Tilburg - Center for Economic Research. - Nijman, T.E. & Sentana, E., 1996.
"
**Marginalization and contemporaneous aggregation in multivariate GARCH processes**," Other publications TiSEM 1faf40e0-ce91-45fd-a98d-4, Tilburg University, School of Economics and Management. - Nijman, T.E. & Sentana, E., 1993.
"
**Marginalization and contemporaneous aggregation in multivariate GARCH processes**," Discussion Paper 1993-12, Tilburg University, Center for Economic Research.

- Nijman, Theo & Sentana, Enrique, 1996.
"
- Mervyn King & Enrique Sentana & Sushil Wadhwani, 1990.
"
**Volatiltiy and Links Between National Stock Markets**," NBER Working Papers 3357, National Bureau of Economic Research, Inc.- King, Mervyn & Sentana, Enrique & Wadhwani, Sushil, 1994.
"
**Volatility and Links between National Stock Markets**," Econometrica, Econometric Society, vol. 62(4), pages 901-33, July.

- King, Mervyn & Sentana, Enrique & Wadhwani, Sushil, 1994.
"

- 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. - 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.- Gabriele Fiorentini & Enrique Sentana, 2014.
"
**Neglected Serial Correlation Tests In Ucarima Models**," Working Papers wp2014_1406, CEMFI.

- Gabriele Fiorentini & Enrique Sentana, 2014.
"
- 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.- Francisco Peñaranda & Enrique Sentana, 2010.
"
**A Unifying Approach to the Empirical Evaluation of Asset Pricing Models**," Working Papers 488, Barcelona Graduate School of Economics. - Francisco Peñaranda & Enrique Sentana, 2010.
"
**A Unifying Approach To The Empirical Evaluation Of Asset Pricing Models**," Working Papers wp2010_1004, CEMFI. - Peñaranda, Francisco & Sentana, Enrique, 2010.
"
**A Unifying Approach to the Empirical Evaluation of Asset Pricing Models**," CEPR Discussion Papers 7943, C.E.P.R. Discussion Papers. - Francisco Peñaranda & Enrique Sentana, 2010.
"
**A unifying approach to the empirical evaluation of asset pricing models**," Economics Working Papers 1229, Department of Economics and Business, Universitat Pompeu Fabra.

- Francisco Peñaranda & Enrique Sentana, 2010.
"
- Gabriele Fiorentini & Enrique Sentana, 2014.
"
**Comment**," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 193-198, April. - Mencía, Javier & Sentana, Enrique, 2013.
"
**Valuation of VIX derivatives**," Journal of Financial Economics, Elsevier, vol. 108(2), pages 367-391.- Mencía, Javier & Sentana, Enrique, 2010.
"
**Valuation of VIX Derivatives**," CEPR Discussion Papers 7619, C.E.P.R. Discussion Papers. - Javier Mencía & Enrique Sentana, 2012.
"
**Valuation of vix derivatives**," Working Papers 1232, Banco de España;Working Papers Homepage. - Javier Mencía & Enrique Sentana, 2009.
"
**Valuation Of Vix Derivatives**," Working Papers wp2009_0913, CEMFI.

- Mencía, Javier & Sentana, Enrique, 2010.
"
- 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.- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2012.
"
**Sequential Estimation Of Shape Parameters In Multivariate Dynamic Models**," Working Papers wp2012_1201, CEMFI.

- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2012.
"
- 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.- Javier Mencía & Enrique Sentana, 2009.
"
**Distributional tests in multivariate dynamic models with Normal and Student t innovations**," Working Papers 0929, Banco de España;Working Papers Homepage. - Enrique Sentana & Javier Mencía, 2008.
"
**Distributional Tests In Multivariate Dynamic Models With Normal And Student T Innovations**," Working Papers wp2008_0804, CEMFI.

- Javier Mencía & Enrique Sentana, 2009.
"
- 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.- Peñaranda, Francisco & Sentana, Enrique, 2004.
"
**Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach**," CEPR Discussion Papers 4422, C.E.P.R. Discussion Papers. - Francisco Peñaranda & Enrique Sentana, 2008.
"
**Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach**," Economics Working Papers 1101, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2010. - 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. - Francisco Peñaranda & Enrique Sentana, 2004.
"
**Spanning Tests In Return And Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach**," Working Papers wp2004_0410, CEMFI.

- Peñaranda, Francisco & Sentana, Enrique, 2004.
"
- Arellano, Manuel & Hansen, Lars Peter & Sentana, Enrique, 2012.
"
**Underidentification?**," Journal of Econometrics, Elsevier, vol. 170(2), pages 256-280.- Manuel Arellano & Lars P. Hansen & Enrique Sentana, 2000.
"
**Underidentification?**," Econometric Society World Congress 2000 Contributed Papers 1824, Econometric Society. - Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009.
"
**Underidentification?**," CeMMAP working papers CWP24/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. - Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009.
"
**Underidentification?**," Working Papers wp2009_0905, CEMFI.

- Manuel Arellano & Lars P. Hansen & Enrique Sentana, 2000.
"
- 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.- 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. - Antonio Diez de los Rios & Enrique Sentana, 2007.
"
**Testing Uncovered Interest Parity: A Continuous-Time Approach**," Staff Working Papers 07-53, Bank of Canada. - Enrique Sentana & Antonio Diez de los Rios, 2007.
"
**Testing Uncovered Interest Parity: A Continuous-Time Approach**," Working Papers wp2007_0714, CEMFI.

- Diez de los Rios, Antonio & Sentana, Enrique, 2007.
"
- Amengual, Dante & Sentana, Enrique, 2010.
"
**A comparison of mean-variance efficiency tests**," Journal of Econometrics, Elsevier, vol. 154(1), pages 16-34, January.- Enrique Sentana & Dante Amegual, 2008.
"
**A Comparison Of Mean-Variance Efficiency Tests**," Working Papers wp2008_0806, CEMFI.

- Enrique Sentana & Dante Amegual, 2008.
"
- 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.- Enrique Sentana & Javier Mencía, 2008.
"
**Multivariate Location-Scale Mixtures Of Normals And Mean-Variance-Skwness Portfolio Allocation**," Working Papers wp2008_0805, CEMFI. - Javier Mencía & Enrique Sentana, 2009.
"
**Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation**," Working Papers 0909, Banco de España;Working Papers Homepage.

- Enrique Sentana & Javier Mencía, 2008.
"
- Enrique Sentana, 2009.
"
**The econometrics of mean-variance efficiency tests: a survey**," Econometrics Journal, Royal Economic Society, vol. 12(3), pages C65-C101, November.- Enrique Sentana, 2008.
"
**The Econometrics Of Mean-Variance Efficiency Tests: A Survey**," Working Papers wp2008_0807, CEMFI.

- Enrique Sentana, 2008.
"
- LeÃ³n, Ã ngel & MencÃa, 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.- Ángel León & Javier Mencía & Enrique Sentana, 2007.
"
**Parametric properties of semi-nonparametric distributions, with applications to option valuation**," Working Papers 0707, Banco de España;Working Papers Homepage. - 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. - Ángel León & Javier Mencía & Enrique Sentana, 2005.
"
**Parametric Properties Of Semi-Nonparametric Distributions, With Applications To Option Valuation**," Working Papers wp2005_0509, CEMFI.

- Ángel León & Javier Mencía & Enrique Sentana, 2007.
"
- 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.- Gabriele Fiorentini & Giorgio Calzolari & Enrique Sentana, 2007.
"

- Gabriele Fiorentini & Giorgio Calzolari & Enrique Sentana, 2007.
"
- Enrique Sentana, 2005.
"
**Least Squares Predictions and Mean-Variance Analysis**," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 3(1), pages 56-78.- Sentana, E., 1997.
"
**Least Squares Predictions and Mean-Variance Analysis**," Papers 9711, Centro de Estudios Monetarios Y Financieros-. - Sentana, Enrique, 1999.
"
**Least Squares Predictions and Mean-Variance Analysis**," CEPR Discussion Papers 2088, C.E.P.R. Discussion Papers. - Enrique Sentana & Enrique Sentana, 1999.
"
**Least Squares Predictions and Mean-Variance Analysis**," FMG Discussion Papers dp312, Financial Markets Group.

- Sentana, E., 1997.
"
- Sentana, Enrique, 2004.
"
**Factor representing portfolios in large asset markets**," Journal of Econometrics, Elsevier, vol. 119(2), pages 257-289, April.- Sentana, E., 2000.
"
**Factor Representing Portfolios in Large Asset Markets**," Papers 0001, Centro de Estudios Monetarios Y Financieros-.

- Sentana, E., 2000.
"
- 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.- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004.
"
**Likelihood-based estimation of latent generalised ARCH structures**," OFRC Working Papers Series 2004fe02, Oxford Financial Research Centre. - Neil Shephard & Gabriele Fiorentini & Enrique Sentana, 2003.
"
**Likelihood-based estimation of latent generalised ARCH structures**," FMG Discussion Papers dp453, Financial Markets Group. - 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. - Neil Shephard & Gabriele Fiorentini Enrique Sentana, 2002.
"
**Likelihood-based estimation of latent generalised ARCH structures**," Economics Series Working Papers 2002-W19, University of Oxford, Department of Economics. - Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2003.
"
**Likelihood-based estimation of latent generalised ARCH structures**," LSE Research Online Documents on Economics 24852, London School of Economics and Political Science, LSE Library. - Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2003.
"
**Likelihood-Based Estimation Of Latent Generalised Arch Structures**," Working Papers. Serie AD 2003-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).

- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004.
"
- 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. - Giorgio Calzolari & Gabriele Fiorentini & Enrique Sentana, 2004.
"
**Constrained Indirect Estimation**," Review of Economic Studies, Oxford University Press, vol. 71(4), pages 945-973. - 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. - Enrique Sentana, 2002.
"
**Did the EMS Reduce the Cost of Capital?**," Economic Journal, Royal Economic Society, vol. 112(482), pages 786-809, October.- Sentana, Enrique, 2000.
"
**Did the EMS Reduce the Cost of Capital?**," CEPR Discussion Papers 2640, C.E.P.R. Discussion Papers.

- Sentana, Enrique, 2000.
"
- 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.- Gabriele Fiorentini & Enrique Sentana Iváñez, 1997.
"
**Identification, estimation and testing of conditionally heteroskedastic factor models**," Working Papers. Serie AD 1997-22, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). - Sentana, E. & Fiorentini, G., 1997.
"
**Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model**," Papers 9709, Centro de Estudios Monetarios Y Financieros-.

- Gabriele Fiorentini & Enrique Sentana Iváñez, 1997.
"
- Enrique Sentana, 2000.
"
**The Likelihood Function of Conditionally Heteroskedastic Factor Models**," Annals of Economics and Statistics, GENES, issue 58, pages 1-19. - 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. - 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.- 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-. - Gabriele Fiorentini & Enrique Sentana Iváñez, 1997.
"
**Conditional means of time series processes and time series processes for conditional means**," Working Papers. Serie AD 1997-17, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).

- Fiorentini, G & Sentana, E, 1996.
"
- 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.- Demos, A & Sentana, E, 1996.
"
**An EM Algorithm for Conditionally Heteroskedastic Factor Models**," Papers 9615, Centro de Estudios Monetarios Y Financieros-.

- Demos, A & Sentana, E, 1996.
"
- Demos, Antonis & Sentana, Enrique, 1998.
"
**Testing for GARCH effects: a one-sided approach**," Journal of Econometrics, Elsevier, vol. 86(1), pages 97-127, June. - 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. - 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.- Sentana, E., 1997.
"
**The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models**," Papers 9719, Centro de Estudios Monetarios Y Financieros-.

- Sentana, E., 1997.
"
- 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. - Sentana, Enrique, 1997.
"
**Multivariate Regression with Unequal Number of Observations—Solution**," Econometric Theory, Cambridge University Press, vol. 13(04), pages 613-614, August. - Sentana, Enrique, 1996.
"
**Multivariate Regression with Unequal Number of Observations**," Econometric Theory, Cambridge University Press, vol. 12(03), pages 586-587, August. - Nijman, Theo & Sentana, Enrique, 1996.
"
**Marginalization and contemporaneous aggregation in multivariate GARCH processes**," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 71-87.- Nijman, T. & Sentana, E., 1993.
"
**Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes**," Papers 9312, Tilburg - Center for Economic Research. - Nijman, T. & Sentana, E., 1994.
"
**Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses**," Papers 9419, Centro de Estudios Monetarios Y Financieros-. - Nijman, T.E. & Sentana, E., 1996.
"
**Marginalization and contemporaneous aggregation in multivariate GARCH processes**," Other publications TiSEM 1faf40e0-ce91-45fd-a98d-4, Tilburg University, School of Economics and Management. - Nijman, T.E. & Sentana, E., 1993.
"
**Marginalization and contemporaneous aggregation in multivariate GARCH processes**," Discussion Paper 1993-12, Tilburg University, Center for Economic Research.

- Nijman, T. & Sentana, E., 1993.
"
- Enrique Sentana, 1995.
"
**Quadratic ARCH Models**," Review of Economic Studies, Oxford University Press, vol. 62(4), pages 639-661.- Sentana,E., 1995.
"
**Quadratic Arch Models**," Papers 9517, Centro de Estudios Monetarios Y Financieros-.

- Sentana,E., 1995.
"
- King, Mervyn & Sentana, Enrique & Wadhwani, Sushil, 1994.
"
**Volatility and Links between National Stock Markets**," Econometrica, Econometric Society, vol. 62(4), pages 901-33, July.- Mervyn King & Enrique Sentana & Sushil Wadhwani, 1990.
"
**Volatiltiy and Links Between National Stock Markets**," NBER Working Papers 3357, National Bureau of Economic Research, Inc.

- Mervyn King & Enrique Sentana & Sushil Wadhwani, 1990.
"
- Enrique Sentana, 1993.
"
**The econometrics of the stock market II: asset pricing**," Investigaciones Economicas, Fundación SEPI, vol. 17(3), pages 421-444, September. - Enrique Sentana, 1993.
"
**The econometrics of the stock market I: rationality tests**," Investigaciones Economicas, Fundación SEPI, vol. 17(3), pages 401-420, September. - 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. - 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. - 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. - 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.

RePEc:adr:anecst:y:2000:i:58:p:02 is not listed on IDEAS

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 35 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.

- NEP-ECM:
**Econometrics**(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. Author is listed - NEP-ETS:
**Econometric Time Series**(13) 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. Author is listed - 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 - NEP-ORE:
**Operations Research**(6) 2008-08-21 2010-08-06 2012-07-01 2014-12-19 2015-10-25 2016-02-23. Author is listed - NEP-CBA:
**Central Banking**(5) 2007-10-13 2007-11-17 2008-08-21 2015-03-05 2015-03-13. Author is listed - NEP-MAC: Macroeconomics (4) 2015-03-05 2015-03-13 2015-10-04 2015-10-25
- NEP-MON: Monetary Economics (3) 2007-10-13 2007-11-17 2008-08-21
- NEP-EEC: European Economics (2) 2015-03-05 2015-03-13
- NEP-FMK: Financial Markets (2) 2006-01-29 2006-09-11
- NEP-IFN: International Finance (2) 2007-10-13 2007-11-17
- NEP-MFD: Microfinance (2) 2015-03-05 2015-03-05
- NEP-RMG: Risk Management (2) 2012-07-01 2015-03-13
- NEP-CFN: Corporate Finance (1) 2007-11-17

This author is among the top 5% authors according to these criteria:

- Average Rank Score
- Number of Works
- Number of Distinct Works, Weighted by Simple Impact Factor
- Number of Distinct Works, Weighted by Recursive Impact Factor
- Number of Distinct Works, Weighted by Number of Authors
- Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
- Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
- Number of Citations
- Number of Citations, Discounted by Citation Age
- Number of Citations, Weighted by Simple Impact Factor
- Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
- Number of Citations, Weighted by Recursive Impact Factor
- Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
- Number of Citations, Weighted by Number of Authors
- Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
- Number of Citations, Weighted by Number of Authors and Simple Impact Factors
- Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
- Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
- Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
- h-index
- Number of Registered Citing Authors
- Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
- Number of Journal Pages
- Number of Journal Pages, Weighted by Simple Impact Factor
- Number of Journal Pages, Weighted by Recursive Impact Factor
- Number of Journal Pages, Weighted by Number of Authors
- Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
- Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
- Wu-Index
- Record of graduates

#### Most cited item

- Mervyn King & Enrique Sentana & Sushil Wadhwani, 1990.
"
**Volatiltiy and Links Between National Stock Markets**," NBER Working Papers 3357, National Bureau of Economic Research, Inc.

#### Most downloaded item (past 12 months)

- Amengual, Dante & Sentana, Enrique, 2015.
"
**Is a normal copula the right copula?**," CEPR Discussion Papers 10809, C.E.P.R. Discussion Papers.

#### Access and download statistics for all items

#### Co-authorship network on CollEc

For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Enrique Sentana should log into the RePEc Author Service

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.