Enrique Sentana - Selected Publications#

A unifying approach to the empirical evaluation of asset pricing models, with F. Peñaranda, Review of Economics and Statistics 97, 412-435, 2015. [27]

Valuation of VIX derivatives, with J. Mencía, Journal of Financial Economics 108, 367-391, 2013. [117]

Underidentification?, with M. Arellano and L.P. Hansen, Journal of Econometrics 170, 256-280, 2012. [88]

Constrained Indirect Estimation, with G. Calzolari and G. Fiorentini, Review of Economic Studies 71, 945-973, 2004. [68]

Likelihood estimation of latent generalised ARCH structures, with G. Fiorentini and N. Shephard, Econometrica 72, 1481-1517, 2004. [122]

Quadratic ARCH models, Review of Economic Studies 62, 639-661, 1995. [694]]

Volatility and links between national stock markets, with M.A. King and S.B. Wadhwani, Econometrica 62, 901-933, 1994. [1172]

Unobserved component time series models with ARCH disturbances, with A. Harvey and E. Ruiz, Journal of Econometrics 52, 129-157, 1992. [436]

Feedback traders and stock return autocorrelations: evidence from a century of daily data, with S.B. Wadhwani, Economic Journal 102, 415-425, 1992. [498]

Semi-parametric estimation and the predictability of stock market returns: some lessons from Japan, with S.B. Wadhwani, Review of Economic Studies 58, 547-563, 1991. [35]

(Google Scholar citations in brackets)