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

SCHOLARLY PAPERS

33

DOWNLOADS
Rank 12,188

SSRN RANKINGS

Top 12,188

in Total Papers Downloads

3,857

CITATIONS
Rank 2,997

SSRN RANKINGS

Top 2,997

in Total Papers Citations

264

Scholarly Papers (33)

1.
Downloads 951 ( 23,094)
Citation 40

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 749 (31,831)
Citation 4

Abstract:

Loading...

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 197 (152,792)
Citation 2

Abstract:

Loading...

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 (638,250)
Citation 4
  • Add to Cart

Abstract:

Loading...

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

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 827 (27,771)
Citation 11

Abstract:

Loading...

Risk management, Portfolio frontier, Market risk capital

Mean Variance Portfolio Allocation with a Value at Risk Constraint

CEPR Discussion Paper No. 2997
Number of pages: 20 Posted: 25 Oct 2001
Enrique Sentana
Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 34 (457,084)
  • Add to Cart

Abstract:

Loading...

Risk management, portfolio frontier, market risk capital

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 369 (78,689)
Citation 2

Abstract:

Loading...

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)

Abstract:

Loading...

4.

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 299 (100,437)

Abstract:

Loading...

Skewness, Kurtosis, ARCH, Moment Tests

5.

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 279 (108,252)
Citation 1

Abstract:

Loading...

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

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 265 (113,727)
Citation 4

Abstract:

Loading...

Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models

Journal of Econometrics, Vol. 102, No. 2, pp. 143-164, June 2001
Posted: 15 Oct 2001
Gabriele Fiorentini and Enrique Sentana
Universita di Firenze - Dipartimento di Statistica and Centro de Estudios Monetarios y Financieros (CEMFI)

Abstract:

Loading...

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

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 140 (206,003)
Citation 3

Abstract:

Loading...

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 47 (403,341)
Citation 2

Abstract:

Loading...

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

8.
Downloads 170 (174,748)
Citation 52

The Rise and Fall of the Natural Interest Rate

Banco de Espana Working Paper No. 1822
Number of pages: 69 Posted: 30 Jul 2018
Universita di Firenze - Dipartimento di Statistica, Banco de España, Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 111 (246,344)
Citation 24

Abstract:

Loading...

natural rate of interest, Kalman filter, observability, demographics

The Rise and Fall of the Natural Interest Rate

Banco de Espana Working Paper No. 1822
Number of pages: 69 Posted: 19 Jul 2018
Universita di Firenze - Dipartimento di Statistica, Banco de España, Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 58 (365,686)
Citation 26

Abstract:

Loading...

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

The Rise and Fall of the Natural Interest Rate

CEPR Discussion Paper No. DP13042
Number of pages: 73 Posted: 16 Jul 2018
Universita di Firenze - Dipartimento di Statistica, Banco de España, Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 1 (680,350)
  • Add to Cart

Abstract:

Loading...

demographics, Kalman filter, Natural rate of interest, observability

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 105 (256,368)
Citation 1

Abstract:

Loading...

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 (536,638)
  • Add to Cart

Abstract:

Loading...

Kurtosis, density expansions, Gram-Charlier, skewness, S&P index options

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 48 (399,813)
Citation 1

Abstract:

Loading...

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 33 (461,759)
Citation 1

Abstract:

Loading...

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 (638,250)
  • Add to Cart

Abstract:

Loading...

CU-GMM, Factor pricing models, Forward premium puzzle, Generalised Empirical Likelihood, Stochastic discount factor

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 47 (403,341)
Citation 1

Abstract:

Loading...

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 24 (511,278)
Citation 6

Abstract:

Loading...

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 61 (351,654)
Citation 6

Abstract:

Loading...

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

13.
Downloads 29 (469,379)
Citation 11

Did the EMS Reduce the Cost of Capital?

CEPR Discussion Paper No. 2640
Number of pages: 46 Posted: 22 Feb 2001
Enrique Sentana
Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 16 (562,471)
Citation 1
  • Add to Cart

Abstract:

Loading...

Currency risk, European monetary union, financial integration, international asset pricing

Did the EMS Reduce the Cost of Capital?

Economic Journal, Vol. 112, pp. 786-809, 2002
Number of pages: 24 Posted: 12 May 2003
Enrique Sentana
Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 13 (582,320)
  • Add to Cart

Abstract:

Loading...

14.

Volatiltiy and Links between National Stock Markets

NBER Working Paper No. w3357
Number of pages: 58 Posted: 08 Sep 2010 Last Revised: 15 Sep 2010
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 28 (474,379)
Citation 24

Abstract:

Loading...

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, Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 26 (499,083)

Abstract:

Loading...

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, Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 0
  • Add to Cart

Abstract:

Loading...

Indirect inference, Kalman filter, Sectoral employment, Spectral maximum likelihood, Wiener-Kolmogorov filter

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, Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 15 (569,000)
Citation 43

Abstract:

Loading...

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, Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 0
  • Add to Cart

Abstract:

Loading...

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

17.

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 (566,154)
  • Add to Cart

Abstract:

Loading...

Inequality constraints, kurtosis, multivariate normality test, skewness, student t, supremum test, tail dependence

18.

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

CEPR Discussion Paper No. 4422
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 (566,154)
  • Add to Cart

Abstract:

Loading...

Asset pricing, asymptotic slopes, GMM, representing portfolios, singular covariance, matrix

19.

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 (625,684)
  • Add to Cart

Abstract:

Loading...

Correlation, Dependence, Stock Markets, Volatility derivatives

20.

Testing Uncovered Interest Parity: A Continuous‐Time Approach

International Economic Review, Vol. 52, Issue 4, pp. 1215-1251, 2011
Number of pages: 37 Posted: 25 Nov 2011
Antonio Diez de los Rios and Enrique Sentana
Bank of Canada and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 2 (635,562)
  • Add to Cart

Abstract:

Loading...

21.

The Econometrics of Mean-Variance Efficiency Tests: A Survey

Econometrics Journal, Vol. 12, Issue 3, pp. C65-C101, November 2009
Number of pages: 37 Posted: 01 Dec 2009
Enrique Sentana
Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 2 (635,562)
Citation 1
  • Add to Cart

Abstract:

Loading...

22.

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 (648,213)
  • Add to Cart

Abstract:

Loading...

Financial forecasting, Misspecification, Moment tests, robustness, volatility

23.

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 (648,213)
  • Add to Cart

Abstract:

Loading...

Continuously Updated GMM, Factor pricing models, Set estimation, Stochastic discount factor, Underidentification tests.

24.

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 (648,213)
  • Add to Cart

Abstract:

Loading...

Asset Pricing, Dynamic Portfolio Strategies, Representing portfolios, Stochastic Discount Factors

25.

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 (648,213)
  • Add to Cart

Abstract:

Loading...

Exchange Rates, Forward Premium Puzzle, Hausman Test, Interest Rates, Orstein-Uhlenbeck Process, Temporal Aggregation

26.

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)
Downloads 0 (666,167)
  • Add to Cart

Abstract:

Loading...

Durbin-Wu-Hausman Tests, Partial Adaptivity, Semiparametric Estimators, Singular Covariance Matrices

27.

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)
Downloads 0 (666,167)
  • Add to Cart

Abstract:

Loading...

consistency, efficiency, Misspecification

28.

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 (666,167)
  • Add to Cart

Abstract:

Loading...

Cokurtosis, Coskewness, indirect inference, Kuhn-Tucker test, momentum strategies, non-linear dependence, short-term reversals, Supremum test, underidentified parameters

29.

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)
Downloads 0 (666,167)
  • Add to Cart

Abstract:

Loading...

Density Expansions, Exchange Traded Notes, Multiplicative Error Model, Volatility Index Futures

30.

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

Abstract:

Loading...

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

31.

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

Abstract:

Loading...

Kurtosis, Inequality Constraints, ARCH, Financial Returns.

32.

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

Abstract:

Loading...

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)

Abstract:

Loading...

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)

Abstract:

Loading...

Other Papers (1)

Total Downloads: 43
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)
Downloads 43

Abstract:

Loading...

Asset Pricing, Dynamic Portfolio Strategies, Representing portfolios, Stochastic Discount Factors