Enrique Sentana

Ph. D. in Economics, LSE, 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 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.
  • “Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach,” with F. Peñaranda, Journal of Econometrics, 170 (2012), 303-324.
  • “Multivariate Location-Scale Mixtures of Normals and Mean-Variance-Skewness Portfolio Allocation,” with J. 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.


© CEMFI. All rights reserved.
Our website uses cookies to analyze the navigation of our users. If you continue browsing this site, you are accepting their use. Our Cookies Policy page contains more information about cookies, how we use them, and how to block them through the settings of your browser.