Enrique Sentana

Least Squares Predictions and Mean-Variance Analysis

Year: 1999
Journal: No Journal Matched
Authors: Enrique Sentana

Did the EMS Reduce the Cost of Capital?

Year: 2000
Journal: Economic Journal
Authors: Enrique Sentana

Mean Variance Portfolio Allocation with a Value at Risk Constraint

Year: 2001
Journal: No Journal Matched
Authors: Enrique Sentana

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

Year: 2004
Journal: Journal of Econometrics
Authors: Francisco Pearanda; Enrique Sentana

Parametric Properties of Semi Nonparametric Distributions with Applications to Option Valuation

Year: 2005
Journal: No Journal Matched
Authors: ngel Len; Javier Menca; Enrique Sentana

Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations

Year: 2005
Journal: No Journal Matched
Authors: Javier Menca; Enrique Sentana

Testing Uncovered Interest Parity: A Continuous-Time Approach

Year: 2007
Journal: International Economic Review
Authors: Antonio Diez de los Rios; Enrique Sentana

Duality in Mean-Variance Frontiers with Conditioning Information

Year: 2007
Journal: Journal of Empirical Finance
Authors: Francisco Pearanda; Enrique Sentana

Valuation of VIX Derivatives

Year: 2010
Journal: Journal of Financial Economics
Authors: Javier Menca; Enrique Sentana

A Unifying Approach to the Empirical Evaluation of Asset Pricing Models

Year: 2010
Journal: Review of Economics and Statistics
Authors: Francisco Pearanda; Enrique Sentana

A Spectral EM Algorithm for Dynamic Factor Models

Year: 2015
Journal: No Journal Matched
Authors: Gabriele Fiorentini; Alessandro Galesi; Enrique Sentana

Volatility-Related Exchange Traded Assets: An Econometric Investigation

Year: 2015
Journal: No Journal Matched
Authors: Javier Menca; Enrique Sentana

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

Year: 2015
Journal: No Journal Matched
Authors: Gabriele Fiorentini; Alessandro Galesi; Enrique Sentana

Is a Normal Copula the Right Copula?

Year: 2015
Journal: Journal of Business and Economic Statistics
Authors: Dante Amengual; Enrique Sentana

Empirical Evaluation of Overspecified Asset Pricing Models

Year: 2017
Journal: No Journal Matched
Authors: Elena Manresa; Francisco Pearanda; Enrique Sentana

Specification Tests for Nongaussian Maximum Likelihood Estimators

Year: 2018
Journal: No Journal Matched
Authors: Enrique Sentana; Gabriele Fiorentini

The Rise and Fall of the Natural Interest Rate

Year: 2018
Journal: No Journal Matched
Authors: Gabriele Fiorentini; Alessandro Galesi; Gabriel Prezquirs; Enrique Sentana

Consistent Nongaussian Pseudo Maximum Likelihood Estimators

Year: 2018
Journal: No Journal Matched
Authors: Gabriele Fiorentini; Enrique Sentana

Volatility Diversification and Contagion

Year: 2018
Journal: No Journal Matched
Authors: Enrique Sentana

New Testing Approaches for Mean-Variance Predictability

Year: 2019
Journal: No Journal Matched
Authors: Gabriele Fiorentini; Enrique Sentana

Hypothesis Tests with a Repeatedly Singular Information Matrix

Year: 2020
Journal: No Journal Matched
Authors: Dante Amengual; Xinyue Bei; Enrique Sentana

Gaussian Rank Correlation and Regression

Year: 2020
Journal: No Journal Matched
Authors: Dante Amengual; Enrique Sentana; Zhanyuan Tian

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

Year: 2020
Journal: No Journal Matched
Authors: Gabriele Fiorentini; Enrique Sentana

Aggregate Output Measurements: A Common Trend Approach

Year: 2021
Journal: Econometrics
Authors: Martin Almuzara; Gabriele Fiorentini; Enrique Sentana

GDP Solera: The Ideal Vintage Mix

Year: 2022
Journal: Journal of Business and Economic Statistics
Authors: Martin Almuzara; Dante Amengual; Gabriele Fiorentini; Enrique Sentana