Academic staff
Enrique Sentana
PhD in Economics, London School of Economics, 1991
Personal details
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
- "Score-type tests for normal mixture models", with Dante Amengual, Xinyue Bei and Marine Carrasco, Journal of Econometrics, 248 (2025), 105717.
- "GDP solera: the ideal vintage mix", with Martín Almuzara, Dante Amengual and Gabriele Fiorentini, Journal of Business and Economic Statistics, 42 (3) (2024), 984-997.
- "Finite underidentification", Journal of Econometrics, 240 (2024), 105692.
- "Specification tests for non-Gaussian structural vector autoregressions", with Dante Amengual and Gabriele Fiorentini, Journal of Econometrics, 244 (2) (2024), 105803.
- "PML vs minimum X²: The comeback", with Dante Amengual and Gabrielle Fiorentini, SERIEs - Journal of the Spanish Economic Association, 14 (2023), 253-300.
- "Empirical evaluation of overspecified asset pricing models", with Elena Manresa and Francisco Peñaranda, Journal of Financial Economics, 147 (2) (2023), 338-351.
- "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.
- "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.