**Enrique Sentana**

Published and final manuscript versions of the highlighted papers can
be read using the freely available **Adobe Acrobat Reader** (subject to the conditions established by each Journal). To obtain them simply click on the highlighted area, and it will be downloaded to your
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**Articles in refereed journals**

**Normality tests for latent variables**, with T. Almuzara and D. Amengual, CEMFI Working Paper 1708, revised October 2018, forthcoming in*Quantitative Economics*. (Supplemental material)

**Is a normal copula the right copula?**, with D. Amengual, CEMFI Working Paper 1504, revised July 2018, forthcoming in the*Journal of Business and Economic Statistics*. (Supplemental material)

**Dynamic specification tests for dynamic factor models**, with G. Fiorentini,*Journal of Applied Econometrics*34 (3), pp. 325-346, April/May 2019. (Supplemental material)

**Volatility-related exchange traded assets: an econometric investigation**, with J. Mencía,*Journal of Business and Economic Statistics*36 (4), pp. 599-614, October 2018.

**A spectral EM algorithm for dynamic factor models**, with G. Fiorentini and A. Galesi,*Journal of Econometrics*205 (1), pp. 249-279, July 2018.

**Duality in mean-variance frontiers with conditioning information**, with F. Peñaranda,*Journal of Empirical Finance*38 (B), pp. 762-785, September 2016. (Supplemental material)

**Neglected serial correlation tests in UCARIMA models**, with G. Fiorentini,*SERIEs*7 (1), pp. 121-178, March 2016.

**A unifying approach to the empirical evaluation of asset pricing models**, with F. Peñaranda,*Review of Economics and Statistics*97 (2), pp. 412-435, May 2015. (Supplemental material)

**Sequential estimators of shape parameters in multivariate dynamic models**, with D. Amengual and G. Fiorentini,*Journal of Econometrics*177 (2), pp. 233-249, December 2013. (Supplemental material)

**Valuation of VIX derivatives**, with J. Mencía,*Journal of Financial Economics*108 (2), pp. 367-391, May 2013. (Winner of the AEFIN-Caja Madrid Prize for the best paper presented at the XVIII Finance Forum)

**Underidentification?**, with M. Arellano and L.P. Hansen,*Journal of Econometrics*170 (2), pp. 256-280, October 2012.

**Spanning tests in return and stochastic discount factor mean-variance frontiers: a unifying approach**, with F. Peñaranda,*Journal of Econometrics*170 (2), pp. 303-324, October 2012.

**Distributional tests in multivariate dynamic models with normal and Student t innovations**, with J. Mencía,*Review of Economics and Statistics*94 (1), pp. 133-152, February 2012. (Supplemental material)

**Testing uncovered interest parity: a continuous time approach**, with A. Díez de los Ríos,*International Economic Review*52 (4), pp. 1215-1251, November 2011.

**A comparison of mean-variance efficiency tests**, with D. Amengual,*Journal of Econometrics*154 (1), pp. 16-34, January 2010. (Supplemental material)

**Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation**, with J. Mencía,*Journal of Econometrics*153 (2), pp. 105-121, December 2009. (Supplemental material)

**Parametric properties of seminonparametric distributions, with applications to option valuation**, with A. León and J. Mencía,*Journal of Business and Economic Statistics*27 (2), pp. 176-192, April 2009. (Supplemental material)

**Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks**, with G. Calzolari and G. Fiorentini,*Journal of Econometrics*146 (1), pp. 10-25, September 2008. (Supplemental material)

**Least squares predictions and mean-variance analysis**,*Journal of Financial Econometrics*3 (1), pp. 56-78, Winter 2005.

**Constrained Indirect Estimation**, with G. Calzolari and G. Fiorentini,*Review of Economic Studies*71 (4), pp. 945-973, October 2004.

**Likelihood estimation of latent generalised ARCH structures**, with G. Fiorentini and N. Shephard,*Econometrica*72 (5), pp. 1481-1517, September 2004.

**Factor representing portfolios in large asset markets**,*Journal of Econometrics*119 (2), pp. 257-289, April 2004.

**Mean-variance portfolio allocation with a value at risk constraint**,*Revista de Economía Financiera*1, pp. 4-14, November 2003.

**Maximum likelihood estimation and inference in multivariate conditionally heteroskedastic dynamic regression models with Student t innovations**, with G. Fiorentini and G. Calzolari,*Journal of Business and Economic Statistics*21 (4), pp. 532-546, October 2003.

**Did the EMS reduce the cost of capital?**,*Economic Journal*112 (482), pp. 786-809, October 2002.

**Identification, estimation and testing of conditionally heteroskedastic factor models**, with G. Fiorentini,*Journal of Econometrics*102 (2), pp. 143-164, June 2001.

**The likelihood function of conditionally heteroskedastic factor models**,*Annales d'Economie et de Statistique*58, pp.1-19, April-June 2000.

**Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix**,*Spanish Economic Review*1 (1), pp. 79-90, March 1999.

**Conditional means of time series processes and time series processes for conditional means**, with G. Fiorentini,*International Economic Review*39 (4), pp. 1101-1118, November 1998.

**Testing for GARCH effects: a one-sided approach**, with A. Demos,*Journal of Econometrics*86 (1), pp. 97-127, September 1998.

**An EM algorithm for conditionally heteroskedastic factor models**, with A. Demos,*Journal of Business and Economic Statistics*16 (3), pp. 357-361, July 1998.

**The relation between conditionally heteroskedastic factor models and factor GARCH models**,*Econometrics Journal*1 (2), pp. 1-9, 1998.

**Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market**, with P.L. Sánchez-Torres,*Investigaciones Económicas*22 (1), pp. 5-17, January 1998.

**Risk and return in the Spanish stock market: some evidence from individual assets**,*Investigaciones Económicas*21 (2), pp. 297-359, May 1997.

**Marginalization and contemporaneous aggregation in multivariate GARCH processes**, with T. Nijman,*Journal of Econometrics*71 (1-2), pp. 71-87, March 1996.

**Quadratic ARCH models**,*Review of Economic Studies*62 (4), pp. 639-661, October 1995.

**Risk and return in the Spanish stock market**, LSE Financial Markets Group Discussion Paper 212, published in Spanish as**Riesgo y rentabilidad en el mercado de valores español**,*Moneda y Crédito*200, pp. 133-160, 1995.

**Volatility and links between national stock markets**, with M.A. King and S.B. Wadhwani,*Econometrica*62 (4), pp. 901-933, July 1994.

**Unobserved component time series models with ARCH disturbances**, with A. Harvey and E. Ruiz,*Journal of Econometrics*52 (1-2), pp. 129-157, April-May 1992.

**Feedback traders and stock return autocorrelations: evidence from a century of daily data**, with S.B. Wadhwani,*Economic Journal*102 (411), pp. 415-425, March 1992.

**Semi-parametric estimation and the predictability of stock market returns: some lessons from Japan**, with S.B. Wadhwani,*Review of Economic Studies*58 (3), pp. 547-563, May 1991.

**Notes, surveys, comments and
contributions to volumes**

**Volatility, diversification and contagion**,*Revista de Economía Aplicada*26 (76), pp. 35-72, Spring 2018.

**The VIX and its derivatives**,*VoxEU.org*, CEPR's Policy Portal, September 2016.

**Comments**on "**Reflections on the probability space induced by moment conditions with implications for Bayesian inference**", by A.R. Gallant, with D. Amengual,*Journal of Financial Econometrics*14 (2), pp. 248-252, Spring 2016.

**Fast ML estimation of dynamic bifactor models: an application to European inflation**, with G. Fiorentini and A. Galesi, in S.J. Koopman and E.T. Hillebrand (eds.)*Dynamic Factor Models*,*Advances in Econometrics*35, pp. 215-282, Emerald, 2016.

**Tests for serial dependence in static, non-Gaussian factor models**, with G. Fiorentini, in S.J. Koopman and N. Shephard (eds.)*Unobserved Components and Time Series Econometrics*, pp. 118-189, Oxford University Press, 2015.

**Comments**on "**Quasi maximum likelihood estimation of GARCH models with heavy-tailed likelihoods**", by J. Fan, L. Qi and D. Xiu, with G. Fiorentini,*Journal of Business and Economic Statistics*32 (2), pp. 193-198, April 2014.

**The econometrics of mean-variance efficiency tests: A survey**,*Econometrics Journal*12 (3), pp. C65-C101, November 2009.

**On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models,**with G. Fiorentini and G. Calzolari,*Economics Letters*83 (3), pp. 307-312, June 2004.

**Modelizar la volatilidad de los mercados financieros**(Modelling the volatility of financial markets)**,**in E. Muñoz and S. Casado (eds.)*Imágenes actuales de la ciencia y la tecnología españolas (Reflections of science and technology in Spain today)*, pp. 200-203, Fundación Española para la Ciencia y la Tecnología (FECYT), 2002.

**Indirect inference estimation of conditionally heteroskedastic factor models**, with G. Calzolari and G. Fiorentini, in C. Provasi (ed.)*Nueva Modelli Complessi e Metodi Computazionali Intensivi per la Stima e la Previsione (Complex models and intensive computational methods for estimation and forecasting)*, pp. 63-68, CLEUP Editrice, 2001.

**Los mercados de valores ante la integración financiera internacional**(Stock markets and international financial integration)**,**in J.C. Jiménez (ed.)*Nueva Moneda, Nueva Economía, Nuevo Mercado (New currency, new economy, new market)*, pp. 73-84, Civitas, 2001.

**Comments**on "**Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics**", by O. Barndorf-Nielsen and N. Shephard,*Journal of the Royal Statistical Society B*,

**Comments**on "**El coste de capital en los mercados emergentes**'', by J. Estrada,*Moneda y Crédito*, 210, 165-182, 2000.

**Regression with missing observations on an explanatory variable**,*Econometric Theory*15, Solution 98.4.4, August 1999.

**Comments**on**Los mercados financieros españoles ante la Unión Monetaria**", by F. Restoy, in*El "euro" y sus repercusiones sobre la economía española*, Fundación BBV, 1999 (English version)*.*

**Regression with missing observations on an explanatory variable**,*Econometric Theory*14, Problem 98.4.4, August 1998.

**Estimation of a Triangular Seemingly Unrelated Regression System by OLS**,*Econometric Theory*14, Solution 97.2.2, April 1998.

**Multivariate Regression with Unequal Number of Observations**,*Econometric Theory*13, Solution 96.3.3, August 1997.

**Estimation of a Triangular Seemingly Unrelated Regression System by OLS**,*Econometric Theory*13, Problem 97.2.2, June 1997.

**Multivariate Regression with Unequal Number of Observations**,*Econometric Theory*12, Problem 96.3.3, July 1996.

**The econometrics of the stock market II: asset pricing**,*Investigaciones Económicas*17 (3), pp. 421-444, September 1993.

**The econometrics of the stock market I: rationality tests**,*Investigaciones Económicas*17 (3), pp. 401-420, September 1993.

**Risk and Return in January: Some UK Evidence**, with A. Demos and M. Shah, in J. Kaehler and P. Kugler (eds.)*Financial Markets Econometrics*, pp. 185-202, Physica Verlag, 1993.

**Comments**on "**Guía para la estimación de modelos ARCH**", by A. Novales and M. Gracia-Díez,*Estadística Española*132, 74-80, Jan-Apr 1993.

**Nota sobre la Inclusión en el Sistema de Precios en un Modelo de Leontief de dos Regímenes de Imposición Indirecta sobre el Consumo**(A Note on the Inclusion in the Leontief Price System of two Systems of Indirect Taxation),*Investigaciones Económicas*12 (1), January 1988, pp. 169-176.

**Efectos sobre los precios derivados de la implantación del IVA en el marco de una unión aduanera con la CEE**(Effects on prices of the introduction of VAT within the framework of a custom union with the EEC), Caja de Ahorros de Alicante y Murcia, 1986.

**La actualización de la matriz intersectorial de la economía andaluza: evaluación de alternativas a través del ajuste RAS**(Updating the Andalusian input-output tables: Comparison of alternatives with the RAS technique), with A. Pedreño,*Revista de Estudios Andaluces*4, pp. 117-146, 1985.

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Last revised: 2^{nd} April 2019