PUBLICATIONS

 Enrique Sentana

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Articles in refereed journals

  • 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.
  • 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

  • Portfolio management with big data, with F. Peñaranda, CEMFI Working Paper 2411, revised October 2024, published in Spanish as Gestión de inversiones con datos masivos, in D. Peña (ed.) Nuevos métodos de investigación económica con datos masivos, Fundación Ramón Areces, 2025.
  • 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.
  • 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.
  • 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.
  • 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, 63(2), pp. 167-241, 2001.
  • 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.
  • 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 Espa&ntuildeola 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: 23th January 2025