WORK IN
PROGRESS
Enrique Sentana
- Inferences about return and stochastic discount factor mean-variance frontiers, with F. Peñaranda, October 2011.
- Sequential estimation of shape parameters in multivariate dynamic models,
with D. Amengual and G. Fiorentini, June 2011.
- Inference in multivariate dynamic models with elliptical innovations,
with D. Amengual, February 2011.
- New testing approaches for mean-variance predictability, with
G. Fiorentini, January 2010.
- Global and first-order underidentification tests,
with M. Arellano and L.P. Hansen, 2008.
- The connection between vector ARCH and
vector random coefficient autoregressive models with applications, with C. He and T. Teräsvirta, 2008.
- Why do you still
use parametric distributions in empirical finance?,
Presidential lecture, Symposium on Economic Analysis, Oviedo, December 2006.
- Minimum message length estimation of panel
data models,
with M. Arellano and David L. Dowe, 2004.
- Understanding long-horizon predictability
in asset returns,
with B. Campbell and N. Meddahi, 2002.
- Overspecified GMM models: applications to
multivariate regression, with E. Renault, 2001.
- How does the future change our past views
of the present?, with A. Demos, June 2000.
- Testing derivative pricing models, with F. Peñaranda, 1999.
- From discrete time to continuous time, and
back again,
with A. León, 1998.
- The power of mean-variance efficiency
tests: portfolio aggregation considerations, with M. Rada, 1997.
- Conditional variance models of income risk
and consumption: estimates from panel data with unobserved heterogeneity, with P. Albarrán, M. Arellano
and R. Blundell, 1993.
- Inequality constraints on GQARCH models, with A. Demos, 1991.
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Last revised: 31st October 2011