WORKING PAPERS
Enrique Sentana
- Information matrix tests for multinomial logit models,
with D. Amengual and G. Fiorentini, CEMFI Working Paper 2406.
- Specification tests for non-Gaussian structural vector autoregressions,
with D. Amengual and G. Fiorentini, CEMFI Working Paper 2212, revised March 2024.
- Information matrix tests for Gaussian mixtures,
with D. Amengual and G. Fiorentini, CEMFI Working Paper 2401.
- Hypothesis tests with a repeatedly singular information matrix,
with D. Amengual and X. Bei, CEMFI Working Paper 2002, revised May 2023.
- The rise and fall of the natural interest rate,
with G. Fiorentini, A. Galesi and G. Pérez-Quirós, CEMFI Working Paper 1805, revised October 2019.
- Dynamic specification tests for static factor models,
with G. Fiorentini, CEMFI Working Paper
0912. (This paper has been largely superseded by Dynamic specification tests for dynamic factor models and
Tests for serial dependence in static, non-Gaussian factor models).
- On the efficiency and consistency of likelihood estimation in
multivariate conditionally heteroskedastic dynamic regression models,
with G. Fiorentini, CEMFI Working Paper 0713, revised October 2010. (This paper has been largely superseded by New testing approaches for mean-variance predictability, Specification tests for non-Gaussian maximum likelihood estimators, Consistent non-Gaussian pseudo maximum likelihood estimators, Sequential estimators of shape parameters in multivariate dynamic models and Dynamic specification tests for static factor models).
- Estimation and
testing of dynamic models with generalised hyperbolic innovations,
with J. Mencía, CEMFI Working Paper 0411, revised July 2005. (This paper has been largely superseded by Distributional tests in
multivariate dynamic models with normal and Student t innovations and
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation).
- Pricing options on assets with predictable
white noise returns, with A. León, CEMFI Working Paper 9704.
- An index of co-movements in financial time
series,
with M. Shah, LSE Financial Markets Group Discussion Paper 193.
- Identification of multivariate conditionally heteroskedastic factor models,
LSE Financial Markets Group Discussion Paper 139. (This paper has been largely superseded by Identification, estimation and testing of conditionally heteroskedastic factor models).
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