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People

Enrique Sentana

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

Personal details

Teaching

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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