Enrique Sentana

Centro de Estudios Monetarios y Financieros (CEMFI)

Professor

Casado del Alisal 5

28014 Madrid

Spain

http://www.cemfi.es/~sentana/

Financial Markets Group

Associate Member

Houghton Street

London School of Economics & Political Science (LSE)

London WC2A 2AE

United Kingdom

Centre for Economic Policy Research (CEPR)

Fellow

London

United Kingdom

  • Centro de Estudios Monetarios y Financieros (CEMFI)

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SCHOLARLY PAPERS

40

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306

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440

Scholarly Papers (40)

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1.

Valuation of Vix Derivatives

Downloads 1,727 (20,120)
Citation 65

Valuation of Vix Derivatives

Number of pages: 59 Posted: 20 Dec 2009 Last Revised: 11 Sep 2012
Javier Mencia and Enrique Sentana
Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 1,427 (26,401)
Citation 5

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Central Tendency, Stochastic Volatility, Jumps, Term Structure, Volatility Skews

Valuation of VIX Derivatives

Banco de Espana Working Paper No. 1232
Number of pages: 66 Posted: 20 Sep 2012
Javier Mencia and Enrique Sentana
Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 295 (199,564)
Citation 2

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central tendency, stochastic volatility, jumps, term structure, volatility skews

Valuation of Vix Derivatives

CEPR Discussion Paper No. DP7619
Number of pages: 50 Posted: 18 Jan 2010
Javier Mencia and Enrique Sentana
Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 5 (1,196,701)
Citation 27
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Central Tendency, Jumps, Stochastic Volatility, Term Structure, Volatility Skews

2.

Mean-Variance Portfolio Allocation with a Value at Risk Constraint

Downloads 965 (47,217)
Citation 8

Mean-Variance Portfolio Allocation with a Value at Risk Constraint

CEMFI Working Paper No. 0105
Number of pages: 19 Posted: 23 Jun 2001
Enrique Sentana
Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 931 (48,866)
Citation 12

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Risk management, Portfolio frontier, Market risk capital

Mean Variance Portfolio Allocation with a Value at Risk Constraint

Number of pages: 20 Posted: 25 Oct 2001
Enrique Sentana
Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 34 (880,012)
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Risk management, portfolio frontier, market risk capital

3.

The Rise and Fall of the Natural Interest Rate

Downloads 812 (59,803)
Citation 65

The Rise and Fall of the Natural Interest Rate

Banco de Espana Working Paper No. 1822
Number of pages: 69 Posted: 19 Jul 2018
Gabriele Fiorentini, Alessandro Galesi, Gabriel Perez-Quiros and Enrique Sentana
Universita di Firenze - Dipartimento di Statistica, idealista, Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 426 (132,368)
Citation 44

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natural rate of interest, Kalman fi lter, observability, demographics.

The Rise and Fall of the Natural Interest Rate

Banco de Espana Working Paper No. 1822
Number of pages: 69 Posted: 30 Jul 2018
Gabriele Fiorentini, Alessandro Galesi, Gabriel Pérez-Quirós and Enrique Sentana
Universita di Firenze - Dipartimento di Statistica, idealista, Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 385 (148,891)
Citation 40

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natural rate of interest, Kalman filter, observability, demographics

The Rise and Fall of the Natural Interest Rate

CEPR Discussion Paper No. DP13042
Number of pages: 73 Posted: 16 Jul 2018
Gabriele Fiorentini, Alessandro Galesi, Gabriel Pérez-Quirós and Enrique Sentana
Universita di Firenze - Dipartimento di Statistica, idealista, Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 1 (1,249,891)
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demographics, Kalman filter, Natural rate of interest, observability

4.

The Relation between Conditionally Heteroskedastic Factor Models and Factor GARCH Models

Downloads 402 (143,063)
Citation 1

The Relation between Conditionally Heteroskedastic Factor Models and Factor GARCH Models

CEMFI Working Paper 9719
Number of pages: 18 Posted: 07 Feb 1998
Enrique Sentana
Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 402 (141,725)
Citation 1

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The Relation between Conditionally Heteroskedastic Factor Models and Factor GARCH Models

The Econometrics Journal 1, pp. 1-9, 1998
Posted: 26 May 1998
Enrique Sentana
Centro de Estudios Monetarios y Financieros (CEMFI)

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5.

On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models

CEMFI Working Paper No. 0306
Number of pages: 14 Posted: 19 Apr 2003
Gabriele Fiorentini, Enrique Sentana and Giorgio Calzolari
Universita di Firenze - Dipartimento di Statistica, Centro de Estudios Monetarios y Financieros (CEMFI) and Universita di Firenze - Dipartimento di Statistica
Downloads 378 (153,345)
Citation 6

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Skewness, Kurtosis, ARCH, Moment Tests

6.

Factor Representing Portfolios in Large Asset Markets

CEMFI Working Paper No. 0001
Number of pages: 67 Posted: 17 Jul 2000
Enrique Sentana
Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 316 (186,009)
Citation 2

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Factor models, basis portfolios, APT, Intertermporal Asset Pricing, Kalman Filter

7.

Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models

Downloads 306 (192,546)
Citation 30

Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models

CEMFI Working Paper 9709
Number of pages: 42 Posted: 02 Feb 1998
Gabriele Fiorentini and Enrique Sentana
Universita di Firenze - Dipartimento di Statistica and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 306 (191,213)
Citation 30

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Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models

Posted: 15 Oct 2001
Gabriele Fiorentini and Enrique Sentana
Universita di Firenze - Dipartimento di Statistica and Centro de Estudios Monetarios y Financieros (CEMFI)

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Volatility, Likelihood estimation, APT, Simultaneous equations, Vector autoregressions

8.

Multivariate Location-Scale Mixtures of Normals and Mean-Variance-Skewness Portfolio Allocation

Downloads 252 (234,645)
Citation 16

Multivariate Location-Scale Mixtures of Normals and Mean-Variance-Skewness Portfolio Allocation

Number of pages: 44 Posted: 18 Feb 2008 Last Revised: 05 Apr 2009
Javier Mencia and Enrique Sentana
Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 170 (337,828)
Citation 17

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Generalised Hyperbolic Distribution, Maximum Likelihood, Portfolio Frontiers, Sortino Ratio, Spanning Tests, Tail Dependence

Multivariate Location-Scale Mixtures of Normals and Mean-Variance-Skewness Portfolio Allocation

Banco de Espana Working Paper No. 0909
Number of pages: 50 Posted: 09 Jun 2009
Javier Mencia and Enrique Sentana
Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 82 (584,950)
Citation 2

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generalized hyperbolic distribution, maximum likelihood, portfolio frontiers, Sortino ratio, spanning tests, tail dependence

9.

Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation

Downloads 178 (324,634)
Citation 15

Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation

Banco de España Research Paper No. WP-0707
Number of pages: 60 Posted: 29 Mar 2007
Angel Leon, Javier Mencia and Enrique Sentana
Universidad de Alicante, Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 158 (359,799)
Citation 1

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kurtosis, density expansions, gram-charlier, skewness, s&p index options

Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation

CEPR Discussion Paper No. 5435
Number of pages: 52 Posted: 17 Apr 2006
Javier Mencia, Enrique Sentana and Angel Leon
Banco de España, Centro de Estudios Monetarios y Financieros (CEMFI) and Universidad de Alicante
Downloads 20 (1,019,808)
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Kurtosis, density expansions, Gram-Charlier, skewness, S&P index options

10.

A Unifying Approach to the Empirical Evaluation of Asset Pricing Models

Downloads 138 (401,315)
Citation 16

A Unifying Approach to the Empirical Evaluation of Asset Pricing Models

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 52 Posted: 16 Sep 2011
Francisco Penaranda and Enrique Sentana
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 74 (621,572)
Citation 2

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CU-GMM, factor pricing models, forward premium puzzle, generalised empirical likelihood, stochastic discount factor

A Unifying Approach to the Empirical Evaluation of Asset Pricing Models

Center for Financial Innovation and Stability Working Paper No. 10-03
Number of pages: 53 Posted: 04 Jan 2011
Francisco Penaranda and Enrique Sentana
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 59 (700,991)
Citation 1

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CU-GMM, Factor Pricing Models, Forward Premium Puzzle, Generalized Empirical Likelihood, Stochastic Discount Factor

A Unifying Approach to the Empirical Evaluation of Asset Pricing Models

CEPR Discussion Paper No. DP7943
Number of pages: 46 Posted: 28 Jul 2010
Francisco Penaranda and Enrique Sentana
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 5 (1,196,701)
Citation 5
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CU-GMM, Factor pricing models, Forward premium puzzle, Generalised Empirical Likelihood, Stochastic discount factor

11.

Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations

Downloads 118 (452,441)
Citation 8

Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations

Number of pages: 42 Posted: 01 Apr 2009 Last Revised: 18 Jun 2010
Javier Mencia and Enrique Sentana
Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 70 (641,328)
Citation 1

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Bootstrap, Inequality Constraints, Kurtosis, Normality Tests, Skewness, Supremum Test, Underidentified parameters

Distributional Tests in Multivariate Dynamic Models with Normal and Student T Innovations

Banco de Espana Working Paper No. 0929
Number of pages: 64 Posted: 21 Dec 2009 Last Revised: 30 Jul 2010
Javier Mencia and Enrique Sentana
Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 48 (770,479)
Citation 10

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Bootstrap, Inequality Constraints, Kurtosis, Normality Tests, Skewness, Supremum Test, Underidentifed parameters

12.

Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach

Number of pages: 74 Posted: 08 Oct 2008
Francisco Penaranda and Enrique Sentana
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 107 (486,292)
Citation 8

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Asset Pricing, Asymptotic Slopes, Dynamic Portfolio Strategies, GMM, Representing portfolios, Singular Covariance Matrix

13.

Volatiltiy and Links between National Stock Markets

NBER Working Paper No. w3357
Number of pages: 58 Posted: 08 Sep 2010 Last Revised: 06 Mar 2022
Mervyn King, Enrique Sentana and Sushil Wadhwani
Bank of England, Centro de Estudios Monetarios y Financieros (CEMFI) and Bank of England - Monetary Policy Committee
Downloads 66 (650,765)
Citation 2

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14.

A Spectral EM Algorithm for Dynamic Factor Models

Downloads 56 (703,987)
Citation 3

A Spectral EM Algorithm for Dynamic Factor Models

Banco de Espana Working Paper No. 1619
Number of pages: 62 Posted: 01 Oct 2016
Gabriele Fiorentini, Alessandro Galesi and Enrique Sentana
Universita di Firenze - Dipartimento di Statistica, idealista and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 56 (718,600)
Citation 2

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indirect inference, Kalman filter, sectoral employment, spectral maximum likelihood, Wiener-Kolmogorov filter

A Spectral EM Algorithm for Dynamic Factor Models

CEPR Discussion Paper No. DP10417
Number of pages: 45 Posted: 17 Feb 2015
Gabriele Fiorentini, Alessandro Galesi and Enrique Sentana
Universita di Firenze - Dipartimento di Statistica, idealista and Centro de Estudios Monetarios y Financieros (CEMFI)
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Citation 2
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Indirect inference, Kalman filter, Sectoral employment, Spectral maximum likelihood, Wiener-Kolmogorov filter

15.

Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation

Downloads 45 (772,858)
Citation 43

Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation

Banco de Espana Working Paper No. 1525
Number of pages: 64 Posted: 22 Sep 2015
Gabriele Fiorentini, Alessandro Galesi and Enrique Sentana
Universita di Firenze - Dipartimento di Statistica, idealista and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 45 (791,768)
Citation 43

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Euro area, inflation convergence, spectral maximum likelihood, Wiener-Kolmogorov filter

Fast Ml Estimation of Dynamic Bifactor Models: An Application to European Inflation

CEPR Discussion Paper No. DP10461
Number of pages: 54 Posted: 02 Mar 2015
Gabriele Fiorentini, Alessandro Galesi and Enrique Sentana
Universita di Firenze - Dipartimento di Statistica, idealista and Centro de Estudios Monetarios y Financieros (CEMFI)
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euro area, inflation convergence, spectral maximum likelihood, Wiener-Kolmogorov filter

16.

The Jacobian of the Exponential Function

Tinbergen Institute Discussion Paper 2020-035/III
Number of pages: 26 Posted: 14 Jul 2020
J.R. Magnus, Henk Pijls and Enrique Sentana
Vrije Universiteit Amsterdam, School of Business and Economics, University of Amsterdam and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 43 (786,970)
Citation 1

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Matrix differential calculus, Orthogonal matrix, Continuous-time Markov chain, Ornstein-Uhlenbeck process

17.

Volatility-Related Exchange Traded Assets: An Econometric Investigation

Downloads 41 (801,250)
Citation 1

Volatility-Related Exchange Traded Assets: An Econometric Investigation

Banco de Espana Working Paper No. 1510
Number of pages: 44 Posted: 25 Aug 2023
Javier Mencia and Enrique Sentana
Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 41 (821,967)

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density expansions, exchange traded notes, multiplicative error model, volatility index futures

Volatility-Related Exchange Traded Assets: An Econometric Investigation

CEPR Discussion Paper No. DP10444
Number of pages: 39 Posted: 02 Mar 2015
Javier Mencia and Enrique Sentana
Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
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Density Expansions, Exchange Traded Notes, Multiplicative Error Model, Volatility Index Futures

18.

Zero-Diagonality as a Linear Structure

Tinbergen Institute Discussion Paper 2020-039/III
Number of pages: 12 Posted: 22 Jul 2020
J.R. Magnus and Enrique Sentana
Vrije Universiteit Amsterdam, School of Business and Economics and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 32 (872,862)
Citation 1

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Diagonality, Networks, Restricted matrices, Structural vector autoregressions

19.

Aggregate Output Measurements: A Common Trend Approach

Downloads 29 (899,271)

Aggregate Output Measurements: A Common Trend Approach

FRB of New York Staff Report No. 962
Number of pages: 38 Posted: 26 Mar 2021
Martin Almuzara, Gabriele Fiorentini and Enrique Sentana
Federal Reserve Banks - Federal Reserve Bank of New York, Universita di Firenze - Dipartimento di Statistica and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 29 (925,858)
Citation 2

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cointegration, GDP, GDI, overdifferencing, signal extraction

Aggregate Output Measurements: A Common Trend Approach

CEPR Discussion Paper No. DP15758
Number of pages: 40 Posted: 11 Feb 2021
Martin Almuzara, Gabriele Fiorentini and Enrique Sentana
Federal Reserve Banks - Federal Reserve Bank of New York, Universita di Firenze - Dipartimento di Statistica and Centro de Estudios Monetarios y Financieros (CEMFI)
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20.

Score-type tests for normal mixtures

Journal of Econometrics, Forthcoming
Number of pages: 78 Posted: 19 Aug 2024
Dante Amengual, Xinyue Bei, Marine Carrasco and Enrique Sentana
Centre for Monetary and Financial Studies (CEMFI), Duke University, University of Montreal - Departement de Ciences Economiques and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 23 (956,745)

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Generalized extremum tests, Higher-order identifiability, Like-lihood ratio test, Mincer equations

21.

Did the EMS Reduce the Cost of Capital?

Number of pages: 46 Posted: 22 Feb 2001
Enrique Sentana
Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 16 (1,031,275)
Citation 5
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Currency risk, European monetary union, financial integration, international asset pricing

22.

The Information Matrix Test for Gaussian Mixtures

Number of pages: 46 Posted: 10 May 2024
Dante Amengual, Gabriele Fiorentini and Enrique Sentana
Centre for Monetary and Financial Studies (CEMFI), Università di Firenze and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 15 (1,042,224)
Citation 1

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Expectation-Maximisation principle, Incomplete data, Hessian matrix, Outer product of the score

23.

GDP Solera: The Ideal Vintage Mix

Downloads 15 (1,042,224)

GDP Solera: The Ideal Vintage Mix

FRB of New York Staff Report No. 1027, 2022
Number of pages: 46 Posted: 16 Aug 2022
Martin Almuzara, Dante Amengual, Gabriele Fiorentini and Enrique Sentana
Federal Reserve Banks - Federal Reserve Bank of New York, Centre for Monetary and Financial Studies (CEMFI), Università di Firenze and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 15 (1,077,797)
Citation 1

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cointegration, comprehensive revisions, signal extractions, U.S. aggregate output, vintages

GDP Solera: The Ideal Vintage Mix

CEPR Discussion Paper No. DP17196
Number of pages: 46 Posted: 27 May 2022
Martin Almuzara, Dante Amengual, Gabriele Fiorentini and Enrique Sentana
Federal Reserve Banks - Federal Reserve Bank of New York, Centre for Monetary and Financial Studies (CEMFI), Università di Firenze and Centro de Estudios Monetarios y Financieros (CEMFI)
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cointegration, Comprehensive revisions, Signal Extraction, US aggregate output, Vintages

24.

Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations

CEPR Discussion Paper No. 5177
Number of pages: 54 Posted: 25 Aug 2005
Javier Mencia and Enrique Sentana
Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 12 (1,075,214)
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Inequality constraints, kurtosis, multivariate normality test, skewness, student t, supremum test, tail dependence

25.

Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach

Number of pages: 67 Posted: 06 Jul 2004
Francisco Penaranda and Enrique Sentana
London School of Economics & Political Science (LSE) - Financial Markets Group and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 12 (1,075,214)
Citation 4
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Asset pricing, asymptotic slopes, GMM, representing portfolios, singular covariance, matrix

26.

Volatility, Diversification and Contagion

CEPR Discussion Paper No. DP12824
Number of pages: 51 Posted: 05 Apr 2018
Enrique Sentana
Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 3 (1,174,529)
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Correlation, Dependence, Stock Markets, Volatility derivatives

27.

Gaussian Rank Correlation and Regression

CEPR Discussion Paper No. DP14914
Number of pages: 57 Posted: 29 Jun 2020
Dante Amengual, Enrique Sentana and Zhanyuan Tian
Centre for Monetary and Financial Studies (CEMFI), Centro de Estudios Monetarios y Financieros (CEMFI) and Boston University
Downloads 2 (1,186,522)
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Copula, Growth regressions, migration, Misspecification, Momentum, robustness, Short-term reversals

28.

Hypothesis Tests with a Repeatedly Singular Information Matrix

CEPR Discussion Paper No. DP14415
Number of pages: 70 Posted: 03 Mar 2020
Dante Amengual, Xinyue Bei and Enrique Sentana
Centre for Monetary and Financial Studies (CEMFI), Duke University and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 1 (1,199,217)
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Generalized extremum tests, Higher-order identifiability, Likelihood ratio test, Non-Gaussian copulas, Predictive regressions, Skew normal distributions

29.

New Testing Approaches for Mean-Variance Predictability

CEPR Discussion Paper No. DP13426
Number of pages: 94 Posted: 11 Jan 2019
Gabriele Fiorentini and Enrique Sentana
Universita di Firenze - Dipartimento di Statistica and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 1 (1,199,217)
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Financial forecasting, Misspecification, Moment tests, robustness, volatility

30.

Empirical Evaluation of Overspecified Asset Pricing Models

CEPR Discussion Paper No. DP12085
Number of pages: 52 Posted: 13 Jun 2017
Elena Manresa, Francisco Peñaranda and Enrique Sentana
Massachusetts Institute of Technology (MIT) - Sloan School of Management, CUNY Queens College and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 1 (1,199,217)
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Continuously Updated GMM, Factor pricing models, Set estimation, Stochastic discount factor, Underidentification tests.

31.

Duality in Mean-Variance Frontiers with Conditioning Information

CEPR Discussion Paper No. DP6566
Number of pages: 55 Posted: 06 Jun 2008
Francisco Penaranda and Enrique Sentana
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 1 (1,199,217)
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Asset Pricing, Dynamic Portfolio Strategies, Representing portfolios, Stochastic Discount Factors

32.

Testing Uncovered Interest Parity: A Continuous-Time Approach

CEPR Discussion Paper No. DP6516
Number of pages: 44 Posted: 05 Jun 2008
Antonio Diez de los Rios and Enrique Sentana
Bank of Canada and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 1 (1,199,217)
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Exchange Rates, Forward Premium Puzzle, Hausman Test, Interest Rates, Orstein-Uhlenbeck Process, Temporal Aggregation

33.

Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions

CEPR Discussion Paper No. DP15411
Number of pages: 39 Posted: 03 Nov 2020
Gabriele Fiorentini and Enrique Sentana
Universita di Firenze - Dipartimento di Statistica and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 0 (1,212,175)
Citation 3
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consistency, Finite normal mixtures, Pseudo maximum likelihood estimators, Structural models, Volatility indices

34.

Specification Tests for Non-Gaussian Maximum Likelihood Estimators

CEPR Discussion Paper No. DP12934
Number of pages: 74 Posted: 21 May 2018
Gabriele Fiorentini and Enrique Sentana
Universita di Firenze - Dipartimento di Statistica and Centro de Estudios Monetarios y Financieros (CEMFI)
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Durbin-Wu-Hausman Tests, Partial Adaptivity, Semiparametric Estimators, Singular Covariance Matrices

35.

Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators

CEPR Discussion Paper No. DP12682
Number of pages: 74 Posted: 05 Feb 2018
Gabriele Fiorentini and Enrique Sentana
Universita di Firenze - Dipartimento di Statistica and Centro de Estudios Monetarios y Financieros (CEMFI)
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consistency, efficiency, Misspecification

36.

Is a Normal Copula the Right Copula?

CEPR Discussion Paper No. DP10809
Number of pages: 86 Posted: 08 Sep 2015
Dante Amengual and Enrique Sentana
Centre for Monetary and Financial Studies (CEMFI) and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 0 (1,212,175)
Citation 4
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Cokurtosis, Coskewness, indirect inference, Kuhn-Tucker test, momentum strategies, non-linear dependence, short-term reversals, Supremum test, underidentified parameters

37.

Likelihood-Based Estimation of Latent Generalised Arch Structures

CEMFI Working Paper No. 0204
Posted: 22 Nov 2002
Gabriele Fiorentini, Enrique Sentana and Neil Shephard
Universita di Firenze - Dipartimento di Statistica, Centro de Estudios Monetarios y Financieros (CEMFI) and Harvard University

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Bayesian inference, Dynamic heteroskedasticity, Factor models, Makov chain Monte Carlo, Simulated EM algorithm, Volatility

38.

The Score of Conditionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an Lm Test for Multivariate Normality

CEMFI Working Paper No. 0007
Posted: 17 Jan 2001
Enrique Sentana, Gabriele Fiorentini and Giorgio Calzolari
Centro de Estudios Monetarios y Financieros (CEMFI), Universita di Firenze - Dipartimento di Statistica and Universita di Firenze - Dipartimento di Statistica

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Kurtosis, Inequality Constraints, ARCH, Financial Returns.

39.

Constrained Emm and Indirect Inference Estimation

CEMFI Working Paper No. 0005
Posted: 03 May 2000
Giorgio Calzolari, Enrique Sentana and Gabriele Fiorentini
Universita di Firenze - Dipartimento di Statistica, Centro de Estudios Monetarios y Financieros (CEMFI) and Universita di Firenze - Dipartimento di Statistica

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40.

Least Squares Predictions and Mean-Variance Analysis

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Least Squares Predictions and Mean-Variance Analysis

Journal of Financial Econometrics, Vol. 3, No. 1, pp. 56-78, 2005
Posted: 29 Feb 2008
Enrique Sentana
Centro de Estudios Monetarios y Financieros (CEMFI)

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delegated portofolio management, financial forecasting, portfolio performance evaluation, Sharpe ratios, spanning tests

Least Squares Predictions and Mean-Variance Analysis

CEMFI Working Paper 9711
Posted: 07 Feb 1998
Enrique Sentana
Centro de Estudios Monetarios y Financieros (CEMFI)

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Other Papers (1)

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1.

Duality in Mean-Variance Frontiers with Conditioning Information

EFA 2007 Ljubljana Meetings Paper
Number of pages: 53 Posted: 01 Mar 2007
Francisco Penaranda and Enrique Sentana
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and Centro de Estudios Monetarios y Financieros (CEMFI)
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Asset Pricing, Dynamic Portfolio Strategies, Representing portfolios, Stochastic Discount Factors