Enrique Sentana

PhD in Economics, London School of Economics, 1991

Personal details




Enrique Sentana

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; structural vector autoregressions.

Selected publications

  • "Empirical evaluation of overspecified asset pricing models", with Elena Manresa and Francisco Peñaranda, Journal of Financial Economics, 147 (2) (2023), 338-351.
  • "GDP solera: the ideal vintage mix", with Martín Almuzara, Dante Amengual and Gabriele Fiorentini, Journal of Business and Economic Statistics, forthcoming (2023), 1-14.
  • "Valuation of VIX derivatives", with Javier Mencía, Journal of Financial Economics, 108 (2) (2013), 367-391.
  • "Underidentification?", with Manuel Arellano and Lars P. Hansen, Journal of Econometrics, 170 (2) (2012), 256-280.
  • "Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation", with Javier Mencía, Journal of Econometrics, 153 (2) (2009), 105-121.
  • "Constrained indirect estimation", with Giorgio Calzolari and Gabriele Fiorentini, Review of Economic Studies, 71 (4) (2004), 945-973.
  • "Likelihood estimation of latent generalised ARCH structures", with Gabriele Fiorentini and Neil Shephard, Econometrica, 72 (5) (2004), 1481-1517.