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
- "Specification tests for non-Gaussian maximum likelihood estimators", with G. Fiorentini, Quantitative Economics, 12 (2021), 683-742.
- "Is a normal copula the right copula?", with D. Amengual, Journal of Business and Economic Statistics, 38 (2020), 350-366.
- "A spectral EM algorithm for dynamic factor models", with G. Fiorentini and A. Galesi, Journal of Econometrics, 205 (2018), 249-279.
- "A unifying approach to the empirical evaluation of asset pricing models", with F. Peñaranda, Review of Economics and Statistics, 97 (2015), 412-435.
- "Valuation of VIX Derivatives", with J. Mencía, Journal of Financial Economics, 108 (2013), 367-391.
- "Underidentification?", with M. Arellano and L.P. Hansen, Journal of Econometrics, 170 (2012), 256-280.