WORKING PAPERS
Enrique Sentana
The highlighted papers have been
posted using Adobe Acrobat pdf format and can be read using the freely
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- A unifying approach to the empirical evaluation of asset pricing models,
with F. Peñaranda, CEMFI Working Paper
1004. (Abstract).
- Spanning tests in
return and stochastic discount factor mean-variance frontiers: a unifying
approach,
with F. Peñaranda, CEMFI Working Paper 0410,
revised February 2010.
- Valuation of VIX derivatives,
with J. Mencía, CEMFI Working Paper
0913. (Abstract).
- Dynamic specification tests for static factor models,
with G. Fiorentini, CEMFI Working Paper
0912. (Abstract).
- Underidentification?,
with M. Arellano and L.P. Hansen, CEMFI Working Paper
0905. (Abstract).
- Duality in mean-variance
frontiers with conditioning information, with F. Peñaranda,
CEMFI Working Paper 0715, revised October 2008.
- On the efficiency and consistency of likelihood estimation in
multivariate conditionally heteroskedastic dynamic regression models,
with G. Fiorentini, CEMFI Working Paper
0713. (Abstract).
- Estimation and
testing of dynamic models with generalised hyperbolic innovations, with J. Mencía, CEMFI Working
Paper 0411, revised July 2005. (This paper has been superseded by Distributional tests in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.
(Abstract).
- An index of co-movements in financial time
series,
with M. Shah, LSE Financial Markets Group Discussion Paper 193.
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