Enrique Sentana

Best Publications

• Volatiltiy and Links between National Stock Markets

  Mervyn King;Mervyn King;Enrique Sentana;Enrique Sentana;Sushil Wadhwani

  1240
  Citations

• Volatility and Links between National Stock Markets

  Unknown

  684
  Citations

• Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data

  Enrique Sentana;Sushil Wadhwani

  598
  Citations

• Quadratic ARCH Models

  Unknown

  552
  Citations

• Unobserved component time series models with Arch disturbances

  Andrew Harvey;Esther Ruiz;Enrique Sentana

  502
  Citations

• Identification, estimation and testing of conditionally heteroskedastic factor models

  Unknown

  283
  Citations

• Valuation of VIX derivatives

  Unknown

  199
  Citations

• Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models With Student<i>t</i>Innovations

  Unknown

  149
  Citations

• Likelihood-Based Estimation of Latent Generalized ARCH Structures

  Gabriele Fiorentini;Enrique Sentana;Neil Shephard

  143
  Citations

• Testing for GARCH effects: a one-sided approach

  Unknown

  111
  Citations

• Multivariate location–scale mixtures of normals and mean–variance–skewness portfolio allocation

  Unknown

  98
  Citations

• The relation between conditionally heteroskedastic factor models and factor GARCH models

  Unknown

  75
  Citations

• Identification, Estimation And Testing Of Conditionally Heteroskedastic Factor Models

  Unknown

  74
  Citations

• Constrained Indirect Estimation

  Unknown

  68
  Citations

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

  Unknown

  57
  Citations

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

  Unknown

  55
  Citations

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

  Unknown

  51
  Citations

• Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks

  Enrique Sentana;Giorgio Calzolari;Gabriele Fiorentini

  39
  Citations

• The rise and fall of the natural interest rate

  Gabriele Fiorentini;Alessandro Galesi;Gabriel Pérez-Quirós;Enrique Sentana

  37
  Citations

• A spectral EM algorithm for dynamic factor models

  Gabriele Fiorentini;Alessandro Galesi;Enrique Sentana

  15
  Citations