**Enrique Sentana**

Published and final manuscript versions of the highlighted papers can
be read using the freely available **Adobe Acrobat Reader** (subject to the conditions established by each Journal). To obtain them simply click on the highlighted area, and it will be downloaded to your
computer where it can be viewed or printed.

**Articles in refereed journals**

**Is a normal copula the right copula?**, with D. Amengual, CEMFI Working Paper 1504, revised July 2018, forthcoming in the*Journal of Business and Economic Statistics*. (Supplemental
material)

**Volatility-related exchange traded assets: an econometric investigation**, with J. Mencía, CEMFI Working Paper 1501, revised April 2016, forthcoming in the*Journal of Business and Economic Statistics*.

**A spectral EM algorithm for dynamic factor models**, with G. Fiorentini and A. Galesi,*Journal of Econometrics*205 (1), pp. 249-279, July 2018.

**Duality in mean-variance frontiers with conditioning information**, with F. Peñaranda,*Journal of Empirical Finance*38 (B), pp. 762-785, September 2016. (Supplemental material)

**Neglected serial correlation tests in UCARIMA models**, with G. Fiorentini,*SERIEs*7 (1), pp. 121-178, March 2016.

**A unifying approach to the empirical evaluation of asset pricing models**, with F. Peñaranda,*Review of Economics and Statistics*97 (2), pp. 412-435, May 2015. (Supplemental material)

**Sequential estimators of shape parameters in multivariate dynamic models**, with D. Amengual and G. Fiorentini,*Journal of Econometrics*177 (2), pp. 233-249, December 2013. (Supplemental material)

**Valuation of VIX derivatives**, with J. Mencía,*Journal of Financial Economics*108 (2), pp. 367-391, May 2013. (Winner of the AEFIN-Caja Madrid Prize for the best paper presented at the XVIII Finance Forum)

**Underidentification?**, with M. Arellano and L.P. Hansen,*Journal of Econometrics*170 (2), pp. 256-280, October 2012.

**Spanning tests in return and stochastic discount factor mean-variance frontiers: a unifying approach**, with F. Peñaranda,*Journal of Econometrics*170 (2), pp. 303-324, October 2012.

**Distributional tests in multivariate dynamic models with normal and Student t innovations**, with J. Mencía,*Review of Economics and Statistics*94 (1), pp. 133-152, February 2012. (Supplemental material)

**Testing uncovered interest parity: a continuous time approach**, with A. Díez de los Ríos,*International Economic Review*52 (4), pp. 1215-1251, November 2011.

**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)

**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, Winter 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.

**Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix**,*Spanish Economic Review*1 (1), pp. 79-90, March 1999.

**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.

**Testing for GARCH effects: a one-sided approach**, with A. Demos,*Journal of Econometrics*86 (1), pp. 97-127, September 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.

**The relation between conditionally heteroskedastic factor models and factor GARCH models**,*Econometrics Journal*1 (2), pp. 1-9, 1998.

**Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market**, with P.L. Sánchez-Torres,*Investigaciones Económicas*22 (1), pp. 5-17, January 1998.

**Risk and return in the Spanish stock market: some evidence from individual assets**,*Investigaciones Económicas*21 (2), pp. 297-359, May 1997.

**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.

**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, surveys, comments and
contributions to volumes**

**Volatility, diversification and contagion**,*Revista de Economía Aplicada*26 (76), pp. 35-72, Spring 2018.

**The VIX and its derivatives**,*VoxEU.org*, CEPR's Policy Portal, September 2016.

**Comments**on "**Reflections on the probability space induced by moment conditions with implications for Bayesian inference**", by A.R. Gallant, with D. Amengual,*Journal of Financial Econometrics*14 (2), pp. 248-252, Spring 2016.

**Fast ML estimation of dynamic bifactor models: an application to European inflation**, with G. Fiorentini and A. Galesi, in S.J. Koopman and E.T. Hillebrand (eds.)*Dynamic Factor Models*,*Advances in Econometrics*35, pp. 215-282, Emerald, 2016.

**Tests for serial dependence in static, non-Gaussian factor models**, with G. Fiorentini, in S.J. Koopman and N. Shephard (eds.)*Unobserved Components and Time Series Econometrics*, pp. 118-189, Oxford University Press, 2015.

**Comments**on "**Quasi maximum likelihood estimation of GARCH models with heavy-tailed likelihoods**", by J. Fan, L. Qi and D. Xiu, with G. Fiorentini,*Journal of Business and Economic Statistics*32 (2), pp. 193-198, April 2014.

**The econometrics of mean-variance efficiency tests: A survey**,*Econometrics Journal*12 (3), pp. C65-C101, November 2009.

**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.

**Modelizar la volatilidad de los mercados financieros**(Modelling the volatility of financial markets)**,**in E. Muñoz and S. Casado (eds.)*Imágenes actuales de la ciencia y la tecnología españolas (Reflections of science and technology in Spain today)*, pp. 200-203, Fundación Española para la Ciencia y la Tecnología (FECYT), 2002.

**Indirect inference estimation of conditionally heteroskedastic factor models**, with G. Calzolari and G. Fiorentini, in C. Provasi (ed.)*Nueva Modelli Complessi e Metodi Computazionali Intensivi per la Stima e la Previsione (Complex models and intensive computational methods for estimation and forecasting)*, pp. 63-68, CLEUP Editrice, 2001.

**Los mercados de valores ante la integración financiera internacional**(Stock markets and international financial integration)**,**in J.C. Jiménez (ed.)*Nueva Moneda, Nueva Economía, Nuevo Mercado (New currency, new economy, new market)*, pp. 73-84, Civitas, 2001.

**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*,

**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.

**The econometrics of the stock market II: asset pricing**,*Investigaciones Económicas*17 (3), pp. 421-444, September 1993.

**The econometrics of the stock market I: rationality tests**,*Investigaciones Económicas*17 (3), pp. 401-420, September 1993.

**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: 16^{th} July 2018