!!Enrique Sentana - Selected Publications
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A unifying approach to the empirical evaluation of asset pricing models, with F. Peñaranda, Review of Economics and Statistics 97, 412-435, 2015. [[27]\\
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Valuation of VIX derivatives, with J. Mencía, Journal of Financial Economics 108, 367-391, 2013. [[117]\\
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Underidentification?, with M. Arellano and L.P. Hansen, Journal of Econometrics 170, 256-280, 2012. [[88]\\
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Constrained Indirect Estimation, with G. Calzolari and G. Fiorentini, Review of Economic Studies 71, 945-973, 2004. [[68]\\
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Likelihood estimation of latent generalised ARCH structures, with G. Fiorentini and N. Shephard, Econometrica 72, 1481-1517, 2004. [[122]\\
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Quadratic ARCH models, Review of Economic Studies 62, 639-661, 1995. [[694]]\\
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Volatility and links between national stock markets, with M.A. King and S.B. Wadhwani, Econometrica 62, 901-933, 1994. [[1172]\\
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Unobserved component time series models with ARCH disturbances, with A. Harvey and E. Ruiz, Journal of Econometrics 52, 129-157, 1992. [[436]\\
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Feedback traders and stock return autocorrelations: evidence from a century of daily data, with S.B. Wadhwani, Economic Journal 102, 415-425, 1992. [[498]\\
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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]\\
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(Google Scholar citations in brackets)