PUBLICATIONS

 Enrique Sentana

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Articles in refereed journals

  • A comparison of mean-variance efficiency tests, with D. Amengual, Journal of Econometrics 154 (1), pp. 16-34, January 2010. (Supplemental material).
  • Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation, with J. Mencía, Journal of Econometrics 153 (2), pp. 105-121, December 2009. (Supplemental material).
  • The econometrics of mean-variance efficiency tests: A survey, Econometrics Journal 12 (3), pp. C65-C101, November 2009.
  • Parametric properties of seminonparametric distributions, with applications to option valuation, with A. León and J. Mencía, Journal of Business and Economic Statistics 27 (2), pp. 176-192, April 2009. (Supplemental material).
  • Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks, with G. Calzolari and G. Fiorentini, Journal of Econometrics 146 (1), pp. 10-25, September 2008. (Supplemental material).
  • Least squares predictions and mean-variance analysis, Journal of Financial Econometrics 3 (1), pp. 56-78, January 2005.
  • Constrained Indirect Estimation, with G. Calzolari and G. Fiorentini, Review of Economic Studies 71 (4), pp. 945-973, October 2004.
  • Likelihood Estimation of Latent Generalised ARCH Structures, with G. Fiorentini and N. Shephard, Econometrica 72 (5), pp. 1481-1517, September 2004.
  • Factor Representing Portfolios in Large Asset Markets, Journal of Econometrics 119 (2), pp. 257-289, April 2004.
  • Mean-Variance Portfolio Allocation with a Value at Risk Constraint, Revista de Economía Financiera 1, pp. 4-14, November 2003.
  • Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroskedastic Dynamic Regression Models with Student t Innovations, with G. Fiorentini and G. Calzolari, Journal of Business and Economic Statistics 21 (4), pp. 532-546, October 2003.
  • Did the EMS Reduce the Cost of Capital?, Economic Journal 112 (482), pp. 786-809, October 2002.
  • Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models, with G. Fiorentini, Journal of Econometrics 102 (2), pp. 143-164, June 2001.
  • The Likelihood Function of Conditionally Heteroskedastic Factor Models, Annales d'Economie et de Statistique 58, pp.1-19, April-June 2000.
  • Conditional Means of Time Series Processes and Time Series Processes for Conditional Means, with G. Fiorentini, International Economic Review 39 (4), pp. 1101-1118, November 1998.
  • An EM Algorithm for Conditionally Heteroskedastic Factor Models, with A. Demos, Journal of Business and Economic Statistics 16 (3), pp. 357-361, July 1998.
  • Marginalization and Contemporaneous Aggregation in Multivariate GARCH Processes, with T. Nijman, Journal of Econometrics 71 (1-2), pp. 71-87, March 1996.
  • Quadratic ARCH Models, Review of Economic Studies 62 (4), pp. 639-661, October 1995.
  • Risk and Return in the Spanish Stock Market, LSE Financial Markets Group Discussion Paper 212, published in Spanish as Riesgo y rentabilidad en el mercado de valores español, Moneda y Crédito 200, pp. 133-160, 1995.
  • Volatility and Links between National Stock Markets, with M.A. King and S.B. Wadhwani, Econometrica 62 (4), pp. 901-933, July 1994.
  • The Econometrics of the Stock Market I: Rationality Tests, Investigaciones Económicas 17 (3), pp. 401-420, September 1993.
  • The Econometrics of the Stock Market II: Asset Pricing, Investigaciones Económicas 17 (3), pp. 421-444, September 1993.
  • Unobserved Component Time Series Models with ARCH Disturbances, with A. Harvey and E. Ruiz, Journal of Econometrics 52 (1-2), pp. 129-157, April-May 1992.
  • Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data, with S.B. Wadhwani, Economic Journal 102 (411), pp. 415-425, March 1992.
  • Semi-Parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan, with S.B. Wadhwani, Review of Economic Studies 58 (3), pp. 547-563, May 1991.

Notes, Comments and Contributions to Volumes

  • On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models, with G. Fiorentini and G. Calzolari, Economics Letters 83 (3), pp. 307-312, June 2004.
  • Comments on "Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics", by O. Barndorf-Nielsen and N. Shephard, Journal of the Royal Statistical Society B, 63(2), pp. 167-241, 2001.
  • Comments on "El coste de capital en los mercados emergentes'', by J. Estrada, Moneda y Crédito, 210, 165-182, 2000.
  • Regression with missing observations on an explanatory variable, Econometric Theory 15, Solution 98.4.4, August 1999.
  • Comments on "Los mercados financieros españoles ante la Unión Monetaria", by F. Restoy, in El "euro" y sus repercusiones sobre la economía española, Fundación BBV, 1999 (English version).
  • Regression with missing observations on an explanatory variable, Econometric Theory 14, Problem 98.4.4, August 1998.
  • Estimation of a Triangular Seemingly Unrelated Regression System by OLS, Econometric Theory 14, Solution 97.2.2, April 1998.
  • Multivariate Regression with Unequal Number of Observations, Econometric Theory 13, Solution 96.3.3, August 1997.
  • Estimation of a Triangular Seemingly Unrelated Regression System by OLS, Econometric Theory 13, Problem 97.2.2, June 1997.
  • Multivariate Regression with Unequal Number of Observations, Econometric Theory 12, Problem 96.3.3, July 1996.
  • Risk and Return in January: Some UK Evidence, with A. Demos and M. Shah, in J. Kaehler and P. Kugler (eds.) Financial Markets Econometrics, pp. 185-202, Physica Verlag, 1993.
  • Comments on "Guía para la estimación de modelos ARCH", by A. Novales and M. Gracia-Díez, Estadística Española 132, 74-80, Jan-Apr 1993.
  • Nota sobre la Inclusión en el Sistema de Precios en un Modelo de Leontief de dos Regímenes de Imposición Indirecta sobre el Consumo (A Note on the Inclusion in the Leontief Price System of two Systems of Indirect Taxation), Investigaciones Económicas 12 (1), January 1988, pp. 169-176.
  • Efectos sobre los precios derivados de la implantación del IVA en el marco de una unión aduanera con la CEE (Effects on prices of the introduction of VAT within the framework of a custom union with the EEC), Caja de Ahorros de Alicante y Murcia, 1986.
  • La actualización de la matriz intersectorial de la economía andaluza: evaluación de alternativas a través del ajuste RAS (Updating the Andalusian input-output tables: Comparison of alternatives with the RAS technique), with A. Pedreño, Revista de Estudios Andaluces 4, pp. 117-146, 1985.

 

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Last revised: 24th November 2009