Enrique Sentana
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Enrique |
| last: |
Sentana |
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Contact
Affiliations
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Centre for Economic Policy Research (CEPR) (weight: 1%)
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Centro de Estudios Monetarios y Financieros (CEMFI) (weight: 98%)
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London School of Economics (LSE)
/ Financial Markets Group (FMG) (weight: 1%)
Research profile
author of:
- The Likelihood Function of Conditionally Heteroskedastic Factor Models (RePEc:adr:anecst:y:2000:i:58:p:1-19)
by Enrique Sentana - Testing Uncovered Interest Parity: A Continuous-Time Approach (RePEc:bca:bocawp:07-53)
by Antonio Diez de los Rios & Enrique Sentana - Parametric properties of semi-nonparametric distributions, with applications to option valuation (RePEc:bde:wpaper:0707)
by Ángel León & Javier Mencía & Enrique Sentana - Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation (RePEc:bde:wpaper:0909)
by Javier Mencía & Enrique Sentana - Distributional tests in multivariate dynamic models with Normal and Student t innovations (RePEc:bde:wpaper:0929)
by Javier Mencía & Enrique Sentana - Valuation of vix derivatives (RePEc:bde:wpaper:1232)
by Javier Mencía & Enrique Sentana - Volatility-related exchange traded assets: an econometric investigation (RePEc:bde:wpaper:1510)
by Javier Mencía & Enrique Sentana - Fast ML estimation of dynamic bifactor models: an application to European inflation (RePEc:bde:wpaper:1525)
by Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana - A spectral EM algorithm for dynamic factor models (RePEc:bde:wpaper:1619)
by Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana - The rise and fall of the natural interest rate (RePEc:bde:wpaper:1822)
by Gabriele Fiorentini & Alessandro Galesi & Gabriel Pérez-Quirós & Enrique Sentana - An EM Algorithm for Conditionally Heteroscedastic Factor Models (RePEc:bes:jnlbes:v:16:y:1998:i:3:p:357-61)
by Demos, Antonis & Sentana, Enrique - Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations (RePEc:bes:jnlbes:v:21:y:2003:i:4:p:532-46)
by Fiorentini, Gabriele & Sentana, Enrique & Calzolari, Giorgio - Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation (RePEc:bes:jnlbes:v:27:i:2:y:2009:p:176-192)
by León, à ngel & MencÃa, Javier & Sentana, Enrique - A Unifying Approach to the Empirical Evaluation of Asset Pricing Models (RePEc:bge:wpaper:488)
by Francisco Peñaranda & Enrique Sentana - Score-type tests for normal mixtures (RePEc:cir:cirwor:2023s-02)
by Dante Amengual & Xinyue Bei & Marine Carrasco & Enrique Sentana - An Index of Co-Movements in Financial Time Series (RePEc:cmf:wpaper:wp1994_9415)
by Enrique Sentana & Mushtaq Shah - Marginalization and Contemporaneous Aggregation in Multivariate GARCH Processes (RePEc:cmf:wpaper:wp1994_9419)
by Theo Nijman # Enrique Sentana - The Likelihood Function of a Conditionally Heteroskedastic Factor Model with Heywood Cases (RePEc:cmf:wpaper:wp1994_9420)
by Enrique Sentana - A Positive Rank-One Modification of the Symmetric Factorization of a Positive Semi-Definite Matrix (RePEc:cmf:wpaper:wp1994_9421)
by Enrique Sentana - Riesgo y rentabilidad en el mercado de valores español (RePEc:cmf:wpaper:wp1995_9507)
by Enrique Sentana - Has the EMS Reduced the Cost of Capital? Versión Revisada (RePEc:cmf:wpaper:wp1995_9514)
by Enrique Sentana & Mustaq Shah & Sushil Wadhwani - Quadratic ARCH Models (RePEc:cmf:wpaper:wp1995_9517)
by Enrique Sentana - Testing for GARCH Effects: A One-Sided Approach (RePEc:cmf:wpaper:wp1996_9611)
by Antonis Demos & Enrique Sentana - An EM Algorithm for Conditionally Heteroskedastic Factor Models (RePEc:cmf:wpaper:wp1996_9615)
by Antonis Demos & Enrique Sentana - Conditional Means of Time Series Processes and Time Series Processes for Conditional Means (RePEc:cmf:wpaper:wp1996_9617)
by Gabriele Fiorentini & Enrique Sentana - Risk and Return in the Spanish Stock Market: Some Evidence from Individual Assets (RePEc:cmf:wpaper:wp1997_9702)
by Enrique Sentana - Pricing Options on Assets with Predictable White Noise Returns (RePEc:cmf:wpaper:wp1997_9704)
by Ángel León & Enrique Sentana - Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada (RePEc:cmf:wpaper:wp1997_9709)
by Enrique Sentana & Gabriele Fiorentini - Least Squares Predictions and Mean-Variance Analysis. Versión Revisada (RePEc:cmf:wpaper:wp1997_9711)
by Enrique Sentana - The Relation Between Conditionally Heteroskedastic Factor Models and Factor GARCH Models (RePEc:cmf:wpaper:wp1997_9719)
by Enrique Sentana - Factor Representing Portfolios in Large Asset Markets.Versión Revisada (RePEc:cmf:wpaper:wp2000_0001)
by Enrique Sentana - Constrained EMM and Indirect Inference Estimation. Versión Revisada (RePEc:cmf:wpaper:wp2000_0005)
by Giorgio Calzolari & Gabriele Fiorentini & Enrique Sentana - The Score of Conditionally Heteroskedastic Dynamic Regression Models with Student t Innovations, and an LM Test for Multivariate Normality.Versión Revisada (RePEc:cmf:wpaper:wp2000_0007)
by Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari - Mean-Variance Portfolio Allocation with a Value at Risk Constraint (RePEc:cmf:wpaper:wp2001_0105)
by Enrique Sentana - Likelihood-Based Estimation of Latent Generalised ARCH Structures (RePEc:cmf:wpaper:wp2002_0204)
by Gabriele Fiorentini & Enrique Sentana & Neil Shephard - On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models (RePEc:cmf:wpaper:wp2003_0306)
by Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari - Indirect Estimation of Conditionally Heteroskedastic Factor Models (RePEc:cmf:wpaper:wp2004_0409)
by Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini - Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach (RePEc:cmf:wpaper:wp2004_0410)
by Francisco Peñaranda & Enrique Sentana - Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations (RePEc:cmf:wpaper:wp2004_0411)
by F. Javier Mencía & Enrique Sentana - Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation (RePEc:cmf:wpaper:wp2005_0509)
by Ángel León & Javier Mencía & Enrique Sentana - On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models (RePEc:cmf:wpaper:wp2007_0713)
by Gabriele Fiorentini & Enrique Sentana - Testing Uncovered Interest Parity: A Continuous-Time Approach (RePEc:cmf:wpaper:wp2007_0714)
by Antonio Diez de los Ríos & Enrique Sentana - Duality in Mean-Variance Frontiers with Conditioning Information (RePEc:cmf:wpaper:wp2007_0715)
by Francisco Peñaranda & Enrique Sentana - Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations (RePEc:cmf:wpaper:wp2008_0804)
by Javier Mencía & Enrique Sentana - Multivariate Location-Scale Mixtures of Normals and Mean-Variance-skewness Portfolio Allocation (RePEc:cmf:wpaper:wp2008_0805)
by Javier Mencía & Enrique Sentana - A Comparison of Mean-Variance Efficiency Tests (RePEc:cmf:wpaper:wp2008_0806)
by Dante Amengual & Enrique Sentana - The Econometrics of Mean-Variance Efficiency Tests: A Survey (RePEc:cmf:wpaper:wp2008_0807)
by Enrique Sentana - Underidentification? (Resumen) (RePEc:cmf:wpaper:wp2009_0905)
by Manuel Arellano & Lars Peter Hansen & Enrique Sentana - Dynamic Specification Tests for Static Factor Models (RePEc:cmf:wpaper:wp2009_0912)
by Gabriele Fiorentini & Enrique Sentana - Valuation of VIX Derivatives (RePEc:cmf:wpaper:wp2009_0913)
by Javier Mencía & Enrique Sentana - A Unifying Approach to the Empirical Evaluation of Asset Pricing Models (RePEc:cmf:wpaper:wp2010_1004)
by Francisco Peñaranda & Enrique Sentana - Sequential Estimation of Shape Parameters in Multivariate Dynamic Models (RePEc:cmf:wpaper:wp2012_1201)
by Dante Amengual & Gabriele Fiorentini & Enrique Sentana - Tests for Serial Dependence in Static, Non-Gaussian Factor Models (RePEc:cmf:wpaper:wp2012_1211)
by Gabriele Fiorentini & Enrique Sentana - Dynamic Specification Tests for Dynamic Factor Models (RePEc:cmf:wpaper:wp2013_1306)
by Gabriele Fiorentini & Enrique Sentana - Neglected Serial Correlation Tests in UCARIMA Models (RePEc:cmf:wpaper:wp2014_1406)
by Gabriele Fiorentini & Enrique Sentana - A Spectral EM Algorithm for Dynamic Factor Models (RePEc:cmf:wpaper:wp2014_1411)
by Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana - Volatility-Related Exchange Traded Assets: An Econometric Investigation (RePEc:cmf:wpaper:wp2015_1501)
by Javier Mencía & Enrique Sentana - Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation (RePEc:cmf:wpaper:wp2015_1502)
by Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana - Is a Normal Copula the Right Copula? (RePEc:cmf:wpaper:wp2015_1504)
by Dante Amengual & Enrique Sentana - Finite Underidentification (RePEc:cmf:wpaper:wp2015_1508)
by Enrique Sentana - Normality Tests for Latent Variables (RePEc:cmf:wpaper:wp2017_1708)
by Tincho Almuzara & Dante Amengual & Enrique Sentana - Testing Distributional Assumptions Using a Continuum of Moments (RePEc:cmf:wpaper:wp2017_1709)
by Dante Amengual & Marine Carrasco & Enrique Sentana - Empirical Evaluation of Overspecified Asset Pricing Models (RePEc:cmf:wpaper:wp2017_1711)
by Elena Manresa & Francisco Peñaranda & Enrique Sentana - Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators (RePEc:cmf:wpaper:wp2018_1802)
by Gabriele Fiorentini & Enrique Sentana - Volatility, Diversification and Contagion (RePEc:cmf:wpaper:wp2018_1803)
by Enrique Sentana - Specification Tests for Non-Gaussian Maximum Likelihood Estimators (RePEc:cmf:wpaper:wp2018_1804)
by Gabriele Fiorentini & Enrique Sentana - The Rise and Fall of the Natural Interest Rate (RePEc:cmf:wpaper:wp2018_1805)
by Gabriele Fiorentini & Alessandro Galesi & Gabriel Pérez-Quirós & Enrique Sentana - New Testing Approaches for Mean-Variance Predictability (RePEc:cmf:wpaper:wp2018_1814)
by Gabriele Fiorentini & Enrique Sentana - Hypothesis Tests with a Repeatedly Singular Information Matrix (RePEc:cmf:wpaper:wp2020_2002)
by Dante Amengual & Xinyue Bei & Enrique Sentana - Gaussian Rank Correlation and Regression (RePEc:cmf:wpaper:wp2020_2004)
by Dante Amengual & Enrique Sentana & Zhanyuan Tian - The Jacobian of the Exponential Function (RePEc:cmf:wpaper:wp2020_2005)
by Jan R. Magnus & Henk G. J. Pijls & Enrique Sentana - Zero-Diagonality as a Linear Structure (RePEc:cmf:wpaper:wp2020_2016)
by Jan R. Magnus & Enrique Sentana - Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions (RePEc:cmf:wpaper:wp2020_2023)
by Gabriele Fiorentini & Enrique Sentana - Aggregate Output Measurements: A Common Trend Approach (RePEc:cmf:wpaper:wp2021_2101)
by Martín Almuzara & Gabriele Fiorentini & Enrique Sentana - Moment tests of independent components (RePEc:cmf:wpaper:wp2021_2102)
by Dante Amengual & Gabriele Fiorentini & Enrique Sentana - Multivariate Hermite polynomials and information matrix tests (RePEc:cmf:wpaper:wp2021_2103)
by Dante Amengual & Gabriele Fiorentini & Enrique Sentana - Normal but Skewed? (RePEc:cmf:wpaper:wp2021_2104)
by Dante Amengual & Xinyue Bei & Enrique Sentana - Tests for random coefficient variation in vector autoregressive models (RePEc:cmf:wpaper:wp2021_2108)
by Dante Amengual & Gabriele Fiorentini & Enrique Sentana - GDP Solera. The Ideal Vintage Mix (RePEc:cmf:wpaper:wp2022_2204)
by Martín Almuzara & Dante Amengual & Gabriele Fiorentini & Enrique Sentana - PML vs minimum χ 2 : the comeback (RePEc:cmf:wpaper:wp2022_2210)
by Dante Amengual & Gabriele Fiorentini & Enrique Sentana - Specification tests for non-Gaussian structural vector autoregressions (RePEc:cmf:wpaper:wp2022_2212)
by Dante Amengual & Gabriele Fiorentini & Enrique Sentana - Score-type tests for normal mixtures (RePEc:cmf:wpaper:wp2022_2213)
by Dante Amengual & Xinyue Bei & Marine Carrasco & Enrique Sentana - Highly Irregular Serial Correlation Tests (RePEc:cmf:wpaper:wp2023_2302)
by Dante Amengual & Xinyue Bei & Enrique Sentana - The information matrix test for Gaussian mixtures (RePEc:cmf:wpaper:wp2024_2401)
by Dante Amengual & Gabriele Fiorentini & Enrique Sentana - A spectral EM algorithm for dynamic factor models (RePEc:cpr:ceprdp:10417)
by Sentana, Enrique & Galesi, Alessandro - Volatility-related exchange traded assets: an econometric investigation (RePEc:cpr:ceprdp:10444)
by Sentana, Enrique & MencÃa, Javier - Fast ML estimation of dynamic bifactor models: an application to European inflation (RePEc:cpr:ceprdp:10461)
by Sentana, Enrique & Galesi, Alessandro - Is a normal copula the right copula? (RePEc:cpr:ceprdp:10809)
by Sentana, Enrique & Amengual, Dante - Empirical Evaluation of Overspecified Asset Pricing Models (RePEc:cpr:ceprdp:12085)
by Sentana, Enrique & Manresa, Elena & Penaranda, Francisco - Consistent non-Gaussian pseudo maximum likelihood estimators (RePEc:cpr:ceprdp:12682)
by Sentana, Enrique & Fiorentini, Gabriele - Volatility, diversification and contagion (RePEc:cpr:ceprdp:12824)
by Sentana, Enrique - Specification tests for non-Gaussian maximum likelihood estimators (RePEc:cpr:ceprdp:12934)
by Sentana, Enrique & Fiorentini, Gabriele - The Rise and Fall of the Natural Interest Rate (RePEc:cpr:ceprdp:13042)
by Pérez-Quirós, Gabriel & Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique - New testing approaches for mean-variance predictability (RePEc:cpr:ceprdp:13426)
by Sentana, Enrique & Fiorentini, Gabriele - Hypothesis tests with a repeatedly singular information matrix (RePEc:cpr:ceprdp:14415)
by Sentana, Enrique & Amengual, Dante & Bei, Xinyue - Gaussian rank correlation and regression (RePEc:cpr:ceprdp:14914)
by Sentana, Enrique & Amengual, Dante & Tian, Zhanyuan - Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions (RePEc:cpr:ceprdp:15411)
by Sentana, Enrique & Fiorentini, Gabriele - Aggregate Output Measurements: A Common Trend Approach (RePEc:cpr:ceprdp:15758)
by Sentana, Enrique & Almuzara, Martin & Fiorentini, Gabriele - GDP Solera: The Ideal Vintage Mix (RePEc:cpr:ceprdp:17196)
by Sentana, Enrique & Almuzara, Martin & Amengual, Dante & Fiorentini, Gabriele - Least Squares Predictions and Mean-Variance Analysis (RePEc:cpr:ceprdp:2088)
by Sentana, Enrique - Did the EMS Reduce the Cost of Capital? (RePEc:cpr:ceprdp:2640)
by Sentana, Enrique - Mean Variance Portfolio Allocation with a Value at Risk Constraint (RePEc:cpr:ceprdp:2997)
by Sentana, Enrique - Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach (RePEc:cpr:ceprdp:4422)
by Sentana, Enrique & Peñaranda, Francisco - Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations (RePEc:cpr:ceprdp:5177)
by Sentana, Enrique & MencÃa, Javier - Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation (RePEc:cpr:ceprdp:5435)
by Sentana, Enrique & MencÃa, Javier & León, à ngel - Testing Uncovered Interest Parity: A Continuous-Time Approach (RePEc:cpr:ceprdp:6516)
by Sentana, Enrique & Diez de los Rios, Antonio - Duality in Mean-Variance Frontiers with Conditioning Information (RePEc:cpr:ceprdp:6566)
by Sentana, Enrique & Peñaranda, Francisco - Valuation of VIX Derivatives (RePEc:cpr:ceprdp:7619)
by Sentana, Enrique & MencÃa, Javier - A Unifying Approach to the Empirical Evaluation of Asset Pricing Models (RePEc:cpr:ceprdp:7943)
by Sentana, Enrique & Peñaranda, Francisco - Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data (RePEc:ecj:econjl:v:102:y:1992:i:411:p:415-25)
by Sentana, Enrique & Wadhwani, Sushil B - Did the EMS Reduce the Cost of Capital? (RePEc:ecj:econjl:v:112:y:2002:i:482:p:786-809)
by Enrique Sentana - Volatility and Links between National Stock Markets (RePEc:ecm:emetrp:v:62:y:1994:i:4:p:901-33)
by King, Mervyn & Sentana, Enrique & Wadhwani, Sushil - Likelihood-Based Estimation of Latent Generalized ARCH Structures (RePEc:ecm:emetrp:v:72:y:2004:i:5:p:1481-1517)
by Gabriele Fiorentini & Enrique Sentana & Neil Shephard - Underidentification? (RePEc:ecm:wc2000:1824)
by Manuel Arellano & Lars P. Hansen & Enrique Sentana - The relation between conditionally heteroskedastic factor models and factor GARCH models (RePEc:ect:emjrnl:v:1:y:1998:i:regularpapers:p:1-9)
by Enrique Sentana - The econometrics of mean-variance efficiency tests: a survey (RePEc:ect:emjrnl:v:12:y:2009:i:3:p:c65-c101)
by Enrique Sentana - The Jacobian of the exponential function (RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000579)
by Magnus, Jan R. & Pijls, Henk G.J. & Sentana, Enrique - Zero-diagonality as a linear structure (RePEc:eee:ecolet:v:196:y:2020:i:c:s016517652030313x)
by Magnus, Jan R. & Sentana, Enrique - On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models (RePEc:eee:ecolet:v:83:y:2004:i:3:p:307-312)
by Fiorentini, Gabriele & Sentana, Enrique & Calzolari, Giorgio - Identification, estimation and testing of conditionally heteroskedastic factor models (RePEc:eee:econom:v:102:y:2001:i:2:p:143-164)
by Sentana, Enrique & Fiorentini, Gabriele - Factor representing portfolios in large asset markets (RePEc:eee:econom:v:119:y:2004:i:2:p:257-289)
by Sentana, Enrique - Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks (RePEc:eee:econom:v:146:y:2008:i:1:p:10-25)
by Sentana, Enrique & Calzolari, Giorgio & Fiorentini, Gabriele - Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation (RePEc:eee:econom:v:153:y:2009:i:2:p:105-121)
by Mencía, Javier & Sentana, Enrique - A comparison of mean-variance efficiency tests (RePEc:eee:econom:v:154:y:2010:i:1:p:16-34)
by Amengual, Dante & Sentana, Enrique - Underidentification? (RePEc:eee:econom:v:170:y:2012:i:2:p:256-280)
by Arellano, Manuel & Hansen, Lars Peter & Sentana, Enrique - Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach (RePEc:eee:econom:v:170:y:2012:i:2:p:303-324)
by Peñaranda, Francisco & Sentana, Enrique - Sequential estimation of shape parameters in multivariate dynamic models (RePEc:eee:econom:v:177:y:2013:i:2:p:233-249)
by Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique - A spectral EM algorithm for dynamic factor models (RePEc:eee:econom:v:205:y:2018:i:1:p:249-279)
by Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique - Consistent non-Gaussian pseudo maximum likelihood estimators (RePEc:eee:econom:v:213:y:2019:i:2:p:321-358)
by Fiorentini, Gabriele & Sentana, Enrique - Testing distributional assumptions using a continuum of moments (RePEc:eee:econom:v:218:y:2020:i:2:p:655-689)
by Amengual, Dante & Carrasco, Marine & Sentana, Enrique - New testing approaches for mean–variance predictability (RePEc:eee:econom:v:222:y:2021:i:1:p:516-538)
by Fiorentini, Gabriele & Sentana, Enrique - Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions (RePEc:eee:econom:v:235:y:2023:i:2:p:643-665)
by Fiorentini, Gabriele & Sentana, Enrique - Unobserved component time series models with Arch disturbances (RePEc:eee:econom:v:52:y:1992:i:1-2:p:129-157)
by Harvey, Andrew & Ruiz, Esther & Sentana, Enrique - Marginalization and contemporaneous aggregation in multivariate GARCH processes (RePEc:eee:econom:v:71:y:1996:i:1-2:p:71-87)
by Nijman, Theo & Sentana, Enrique - Testing for GARCH effects: a one-sided approach (RePEc:eee:econom:v:86:y:1998:i:1:p:97-127)
by Demos, Antonis & Sentana, Enrique - Duality in mean-variance frontiers with conditioning information (RePEc:eee:empfin:v:38:y:2016:i:pb:p:762-785)
by Peñaranda, Francisco & Sentana, Enrique - Valuation of VIX derivatives (RePEc:eee:jfinec:v:108:y:2013:i:2:p:367-391)
by Mencía, Javier & Sentana, Enrique - Empirical evaluation of overspecified asset pricing models (RePEc:eee:jfinec:v:147:y:2023:i:2:p:338-351)
by Manresa, Elena & Peñaranda, Francisco & Sentana, Enrique - Pricing options on assets with predictable white noise returns (RePEc:ehl:lserod:119177)
by Leon, Angel & Sentana, Enrique - Risk and return in the Spanish stock market (RePEc:ehl:lserod:119179)
by Sentana, Enrique - Parametric properties of semi-nonparametric distributions, with applications to option valuation (RePEc:ehl:lserod:24496)
by Mencia, Javier & Leon, Angel & Sentana, Enrique - Estimation and testing of dynamic models with generalised hyperbolic innovations (RePEc:ehl:lserod:24742)
by Mencia, Javier F. & Sentana, Enrique - Likelihood-based estimation of latent generalised ARCH structures (RePEc:ehl:lserod:24852)
by Fiorentini, Gabriele & Sentana, Enrique & Shephard, Neil - Mean-variance portfolio allocation with a value at risk constraint (RePEc:ehl:lserod:25058)
by Sentana, Enrique - Constrained indirect inference estimation (RePEc:ehl:lserod:25061)
by Calzorali, Giorgio & Fiorentini, Gabriele & Sentana, Enrique - Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation (RePEc:eme:aecozz:s0731-905320150000035006)
by Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana - Gaussian Rank Correlation and Regression (RePEc:eme:aecozz:s0731-90532021000043b012)
by Dante Amengual & Enrique Sentana & Zhanyuan Tian - Tests for Random Coefficient Variation in Vector Autoregressive Models (RePEc:eme:aecozz:s0731-90532022000044b001)
by Dante Amengual & Gabriele Fiorentini & Enrique Sentana - Aggregate Output Measurements: A Common Trend Approach (RePEc:eme:aecozz:s0731-90532023000045b001)
by Martín Almuzara & Gabriele Fiorentini & Enrique Sentana - Aggregate Output Measurements: A Common Trend Approach (RePEc:fip:fednsr:90419)
by Gabriele Fiorentini & Martín Almuzara & Enrique Sentana - GDP Solera: The Ideal Vintage Mix (RePEc:fip:fednsr:94635)
by Dante Amengual & Gabriele Fiorentini & Martín Almuzara & Enrique Sentana - Consistent non-Gaussian pseudo maximum likelihood estimators (RePEc:fir:econom:wp2018_01)
by Gabriele Fiorentini & Enrique Sentana - Specification tests for non-Gaussian maximum likelihood estimators (RePEc:fir:econom:wp2018_05)
by Gabriele Fiorentini & Enrique Sentana - Dynamic specification tests for dynamic factor models (RePEc:fir:econom:wp2018_07)
by Gabriele Fiorentini & Enrique Sentana - New testing approaches for mean-variance predictability (RePEc:fir:econom:wp2019_01)
by Gabriele Fiorentini & Enrique Sentana - Aggregate Output Measurements: a Common Trend Approach (RePEc:fir:econom:wp2021_03)
by Martín Almuzara & Gabriele Fiorentini & Enrique Sentana - Multivariate Hermite polynomials and information matrix tests (RePEc:fir:econom:wp2021_07)
by Dante Amengual & Gabriele Fiorentini & Enrique Sentana - Tests for random coefficient variation in vector autoregressive models (RePEc:fir:econom:wp2021_18)
by Dante Amengual & Gabriele Fiorentini & Enrique Sentana - Risk and Return in the Spanish Stock Market (RePEc:fmg:fmgdps:dp212)
by Enrique Sentana - Pricing Options on Assets with Predictable White Noise Returns (RePEc:fmg:fmgdps:dp267)
by Angel León & Enrique Sentana - Least Squares Predictions and Mean-Variance Analysis (RePEc:fmg:fmgdps:dp312)
by Enrique Sentana & Enrique Sentana - Mean-Variance Portfolio allocation with a Value at Risk Constraint (RePEc:fmg:fmgdps:dp380)
by Enrique Sentana & Enrique Sentana - Constrained Indirect Inference Estimation (RePEc:fmg:fmgdps:dp384)
by Gabriele Fiorentini & Enrique Sentana - Likelihood-based estimation of latent generalised ARCH structures (RePEc:fmg:fmgdps:dp453)
by Neil Shephard & Gabriele Fiorentini & Enrique Sentana - Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach (RePEc:fmg:fmgdps:dp497)
by Enrique Sentana & Francisco Penaranda - Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations (RePEc:fmg:fmgdps:dp502)
by Enrique Sentana - The Rise and Fall of the Natural Interest Rate (RePEc:frz:wpaper:wp2018_14.rdf)
by Gabriele Fiorentini & Alessandro Galesi & Gabriel Pérez-Quirós & Enrique Sentana - Factor Representing Portfolios in Large Asset Markets (RePEc:fth:cemfdt:0001)
by Sentana, E. - Constrained EMM and Indirect Inference Estimation (RePEc:fth:cemfdt:0005)
by Calzolari, G. & Fiorentini, G. & Sentana, E. - The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality (RePEc:fth:cemfdt:0007)
by Fiorentini, G. & Sentana, E. & Calzolari, G. - Mean-Variance Portfolio Allocation with a Value at Risk Constraint (RePEc:fth:cemfdt:0105)
by Sentana, E. - An Index of Co-Movements in Financial Time Series (RePEc:fth:cemfdt:9415)
by Sentana, E. & Shah, M. - Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses (RePEc:fth:cemfdt:9419)
by Nijman, T. & Sentana, E. - The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases (RePEc:fth:cemfdt:9420)
by Sentana, E. - A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix (RePEc:fth:cemfdt:9421)
by Sentana, E. - Has the EMS Reduced the Cost of Capital? (RePEc:fth:cemfdt:9514)
by Sentana, E. & Shah, M. & Wadhwani, S. - Quadratic Arch Models (RePEc:fth:cemfdt:9517)
by Sentana,E. - An EM Algorithm for Conditionally Heteroskedastic Factor Models (RePEc:fth:cemfdt:9615)
by Demos, A & Sentana, E - Conditional Means of Time Series Processes and Time Series Processes for Conditional Means (RePEc:fth:cemfdt:9617)
by Fiorentini, G & Sentana, E - Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model (RePEc:fth:cemfdt:9709)
by Sentana, E. & Fiorentini, G. - Least Squares Predictions and Mean-Variance Analysis (RePEc:fth:cemfdt:9711)
by Sentana, E. - The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models (RePEc:fth:cemfdt:9719)
by Sentana, E. - Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes (RePEc:fth:tilbur:9312)
by Nijman, T. & Sentana, E. - Nota sobre la inclusión en el sistema de precios en un modelo de Leontief de dos regímenes de imposición indirecta sobre el consumo (RePEc:iec:inveco:v:12:y:1988:i:1:p:169-176)
by Enrique Sentana Ivañez - The econometrics of the stock market I: rationality tests (RePEc:iec:inveco:v:17:y:1993:i:3:p:401-420)
by Enrique Sentana - The econometrics of the stock market II: asset pricing (RePEc:iec:inveco:v:17:y:1993:i:3:p:421-444)
by Enrique Sentana - Risk and return in the Spanish stock market: some evidence from individual assets (RePEc:iec:inveco:v:21:y:1997:i:2:p:297-360)
by Enrique Sentana - Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market (RePEc:iec:inveco:v:22:y:1998:i:1:p:5-17)
by Pedro L. Sánchez-Torres & Enrique Sentana - Conditional Means of Time Series Processes and Time Series Processes for Conditional Means (RePEc:ier:iecrev:v:39:y:1998:i:4:p:1101-18)
by Fiorentini, Gabriele & Sentana, Enrique - Testing Uncovered Interest Parity: A Continuous‐Time Approach (RePEc:ier:iecrev:v:52:y:2011:i:4:p:1215-1251)
by Antonio Diez de los Rios & Enrique Sentana - Underidentification? (RePEc:ifs:cemmap:24/09)
by Manuel Arellano & Lars Peter Hansen & Enrique Sentana - Conditional means of time series processes and time series processes for conditional means (RePEc:ivi:wpasad:1997-17)
by Gabriele Fiorentini & Enrique Sentana Iváñez - Identification, estimation and testing of conditionally heteroskedastic factor models (RePEc:ivi:wpasad:1997-22)
by Gabriele Fiorentini & Enrique Sentana Iváñez - Constrained Emm And Indirect Inference Estimation (RePEc:ivi:wpasad:2000-26)
by Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari - The Score Of Conditionally Heteroskedastic Dynamic Regression Models With Student T Innovations, An Lm Test For Multivariate Normality (RePEc:ivi:wpasad:2000-33)
by Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari - Likelihood-Based Estimation Of Latent Generalised Arch Structures (RePEc:ivi:wpasad:2003-06)
by Gabriele Fiorentini & Enrique Sentana & Neil Shephard - Volatiltiy and Links Between National Stock Markets (RePEc:nbr:nberwo:3357)
by Mervyn King & Enrique Sentana & Sushil Wadhwani - Likelihood-based estimation of latent generalised ARCH structures (RePEc:nuf:econwp:0219)
by Gabriele Fiorentini & Enrique Sentana & Neil Shephard - Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference (RePEc:oup:jfinec:v:14:y:2016:i:2:p:248-252.)
by Dante Amengual & Enrique Sentana - Least Squares Predictions and Mean-Variance Analysis (RePEc:oup:jfinec:v:3:y:2005:i:1:p:56-78)
by Enrique Sentana - Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan (RePEc:oup:restud:v:58:y:1991:i:3:p:547-563.)
by Enrique Sentana & Sushil Wadhwani - Quadratic ARCH Models (RePEc:oup:restud:v:62:y:1995:i:4:p:639-661.)
by Enrique Sentana - Constrained Indirect Estimation (RePEc:oup:restud:v:71:y:2004:i:4:p:945-973)
by Giorgio Calzolari & Gabriele Fiorentini & Enrique Sentana - Likelihood-based estimation of latent generalised ARCH (RePEc:oxf:wpaper:2004-fe-02)
by Neil Shephard & Enrique Sentana & Gabriele Fiorentini - Dynamic Specification Tests for Static Factor Models (RePEc:rim:rimwps:04_10)
by Gabriele Fiorentini & Enrique Sentana - Consistent non-Gaussian pseudo maximum likelihood estimators (RePEc:rim:rimwps:18-06)
by Gabriele Fiorentini & Enrique Sentana - Specification tests for non-Gaussian maximum likelihood estimators (RePEc:rim:rimwps:18-22)
by Gabriele Fiorentini & Enrique Sentana - The Rise and Fall of the Natural Interest Rate (RePEc:rim:rimwps:18-29)
by Gabriele Fiorentini & Alessandro Galesi & Gabriel Pérez-Quirós & Enrique Sentana - New testing approaches for mean-variance predictability (RePEc:rim:rimwps:19-01)
by Gabriele Fiorentini & Enrique Sentana - Aggregate output measurements: a common trend approach (RePEc:rim:rimwps:21-02)
by Martín Almuzara & Gabriele Fiorentini & Enrique Sentana - Multivariate Hermite polynomials and information matrix tests (RePEc:rim:rimwps:21-12)
by Dante Amengual & Gabriele Fiorentini & Enrique Sentana - Tests for random coefficient variation in vector autoregressive models (RePEc:rim:rimwps:21-21)
by Dante Amengual & Gabriele Fiorentini & Enrique Sentana - On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models (RePEc:rim:rimwps:38_07)
by Gabriele Fiorentini & Enrique Sentana - Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks (RePEc:rim:rimwps:40_07)
by Gabriele Fiorentini & Giorgio Calzolari & Enrique Sentana - Likelihood-based estimation of latent generalised ARCH structures (RePEc:sbs:wpsefe:2004fe02)
by Gabriele Fiorentini & Enrique Sentana & Neil Shephard - Moment tests of independent components (RePEc:spr:series:v:13:y:2022:i:1:d:10.1007_s13209-021-00247-3)
by Dante Amengual & Gabriele Fiorentini & Enrique Sentana - PML versus minimum $${\chi }^{2}$$ χ 2 : the comeback (RePEc:spr:series:v:14:y:2023:i:3:d:10.1007_s13209-023-00280-4)
by Dante Amengual & Gabriele Fiorentini & Enrique Sentana - Neglected serial correlation tests in UCARIMA models (RePEc:spr:series:v:7:y:2016:i:1:d:10.1007_s13209-015-0132-3)
by Gabriele Fiorentini & Enrique Sentana - Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix (RePEc:spr:specre:v:1:y:1999:i:1:p:79-90)
by Enrique Sentana - Comment (RePEc:taf:jnlbes:v:32:y:2014:i:2:p:193-198)
by Gabriele Fiorentini & Enrique Sentana - Volatility-Related Exchange Traded Assets: An Econometric Investigation (RePEc:taf:jnlbes:v:36:y:2018:i:4:p:599-614)
by Javier Mencía & Enrique Sentana - Is a Normal Copula the Right Copula? (RePEc:taf:jnlbes:v:38:y:2020:i:2:p:350-366)
by Dante Amengual & Enrique Sentana - The Jacobian of the exponential function (RePEc:tin:wpaper:20200035)
by Jan R. Magnus & Henk G.J. Pijls & Enrique Sentana - Zero-diagonality as a linear structure (RePEc:tin:wpaper:20200039)
by Jan R. Magnus & Enrique Sentana - Marginalization and contemporaneous aggregation in multivariate GARCH processes (RePEc:tiu:tiucen:395cb9d2-89a8-4cbf-923e-ced56d0ec33f)
by Nijman, T.E. & Sentana, E. - Marginalization and contemporaneous aggregation in multivariate GARCH processes (RePEc:tiu:tiutis:1faf40e0-ce91-45fd-a98d-40e608f92777)
by Nijman, T.E. & Sentana, E. - Marginalization and contemporaneous aggregation in multivariate GARCH processes (RePEc:tiu:tiutis:395cb9d2-89a8-4cbf-923e-ced56d0ec33f)
by Nijman, T.E. & Sentana, E. - Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations (RePEc:tpr:restat:v:94:y:2012:i:1:p:133-152)
by Javier Mencía & Enrique Sentana - A Unifying Approach to the Empirical Evaluation of Asset Pricing Models (RePEc:tpr:restat:v:97:y:2015:i:2:p:412-435)
by Francisco Peñaranda & Enrique Sentana - Duality in mean-variance frontiers with conditioning information (RePEc:upf:upfgen:1058)
by Francisco Peñaranda & Enrique Sentana - Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach (RePEc:upf:upfgen:1101)
by Francisco Peñaranda & Enrique Sentana - A unifying approach to the empirical evaluation of asset pricing models (RePEc:upf:upfgen:1229)
by Francisco Peñaranda & Enrique Sentana - Dynamic specification tests for dynamic factor models (RePEc:wly:japmet:v:34:y:2019:i:3:p:325-346)
by Gabriele Fiorentini & Enrique Sentana - Normal but skewed? (RePEc:wly:japmet:v:37:y:2022:i:7:p:1295-1313)
by Dante Amengual & Xinyue Bei & Enrique Sentana - Normality tests for latent variables (RePEc:wly:quante:v:10:y:2019:i:3:p:981-1017)
by Martín Almuzara & Dante Amengual & Enrique Sentana - Specification tests for non‐Gaussian maximum likelihood estimators (RePEc:wly:quante:v:12:y:2021:i:3:p:683-742)
by Gabriele Fiorentini & Enrique Sentana