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Enrique Sentana

Ph.D. in Economics, London School of Economics, 1991

Personal details


Time series econometrics, Asset pricing II

Research interests

Predictability of stock market returns and exchange rates; factor models for financial returns and macroeconomic time series; volatility derivatives; conditional mean-variance analysis and spanning tests; non-normal distributions and copulas for portfolio allocation, option valuation and risk management; estimation by simulation; identification tests in structural models, dynamic specification tests.

Selected publications

  • "Valuation of VIX Derivatives," with Javier Mencía, Journal of Financial Economics, 108 (2013), 367-391.

  • "Underidentification?," with Manuel Arellano and Lars Peter Hansen, Journal of Econometrics, 170 (2012), 256-280.

  • "Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," with Francisco Peñaranda, Journal of Econometrics, 170 (2012), 303-324.

  • "Multivariate Location-Scale Mixtures of Normals and Mean-Varianceskewness Portfolio Allocation," with Javier Mencía, Journal of Econometrics, 153 (2009), 105-121.

  • "Constrained Indirect Estimation," with G. Calzolari and G. Fiorentini, Review of Economic Studies, 71 (2004), 945-973.

  • "Likelihood Estimation of Latent Generalised ARCH Structures," with G. Fiorentini and N. Shephard, Econometrica, 72 (2004), 1481-1517.


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