×

zbMATH — the first resource for mathematics

Sentana, Enrique

Compute Distance To:
Author ID: sentana.enrique Recent zbMATH articles by "Sentana, Enrique"
Published as: Sentana, Enrique
Documents Indexed: 21 Publications since 1994

Publications by Year

Citations contained in zbMATH

17 Publications have been cited 268 times in 193 Documents Cited by Year
Quadratic ARCH models. Zbl 0847.90035
Sentana, Enrique
65
1995
Volatility and links between national stock markets. Zbl 0807.90037
King, Mervyn; Sentana, Enrique; Wadhwani, Sushil
40
1994
Identification, estimation and testing of conditionally heteroskedastic factor models. Zbl 0977.62111
Sentana, Enrique; Fiorentini, Gabriele
25
2001
Likelihood-based estimation of latent generalized ARCH structures. Zbl 1091.62071
Fiorentini, Gabriele; Sentana, Enrique; Shephard, Neil
22
2004
Constrained indirect estimation. Zbl 1060.62027
Calzolari, Giorgio; Fiorentini, Gabriele; Sentana, Enrique
18
2004
Marginalization and contemporaneous aggregation in multivariate GARCH processes. Zbl 0843.62104
Nijman, Theo; Sentana, Enrique
17
1996
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation. Zbl 1431.62482
Mencía, Javier; Sentana, Enrique
14
2009
Testing for GARCH effects: A one-sided approach. Zbl 0962.62083
Demos, Antonis; Sentana, Enrique
13
1998
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks. Zbl 1418.62353
Sentana, Enrique; Calzolari, Giorgio; Fiorentini, Gabriele
12
2008
On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models. Zbl 1254.91584
Fiorentini, Gabriele; Sentana, Enrique; Calzolari, Giorgio
9
2004
Factor representing portfolios in large asset markets. Zbl 1282.91271
Sentana, Enrique
7
2004
The relation between conditionally heteroskedastic factor models and factor GARCH models. Zbl 1041.91037
Sentana, Enrique
7
1998
A comparison of mean-variance efficiency tests. Zbl 1431.62075
Amengual, Dante; Sentana, Enrique
6
2010
The econometrics of mean-variance efficiency tests: a survey. Zbl 1178.91232
Sentana, Enrique
5
2009
Spanning tests in return and stochastic discount factor mean-variance frontiers: a unifying approach. Zbl 1443.62498
Peñaranda, Francisco; Sentana, Enrique
4
2012
Underidentification? Zbl 1443.62424
Arellano, Manuel; Hansen, Lars Peter; Sentana, Enrique
3
2012
Sequential estimation of shape parameters in multivariate dynamic models. Zbl 1288.62118
Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique
1
2013
Sequential estimation of shape parameters in multivariate dynamic models. Zbl 1288.62118
Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique
1
2013
Spanning tests in return and stochastic discount factor mean-variance frontiers: a unifying approach. Zbl 1443.62498
Peñaranda, Francisco; Sentana, Enrique
4
2012
Underidentification? Zbl 1443.62424
Arellano, Manuel; Hansen, Lars Peter; Sentana, Enrique
3
2012
A comparison of mean-variance efficiency tests. Zbl 1431.62075
Amengual, Dante; Sentana, Enrique
6
2010
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation. Zbl 1431.62482
Mencía, Javier; Sentana, Enrique
14
2009
The econometrics of mean-variance efficiency tests: a survey. Zbl 1178.91232
Sentana, Enrique
5
2009
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks. Zbl 1418.62353
Sentana, Enrique; Calzolari, Giorgio; Fiorentini, Gabriele
12
2008
Likelihood-based estimation of latent generalized ARCH structures. Zbl 1091.62071
Fiorentini, Gabriele; Sentana, Enrique; Shephard, Neil
22
2004
Constrained indirect estimation. Zbl 1060.62027
Calzolari, Giorgio; Fiorentini, Gabriele; Sentana, Enrique
18
2004
On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models. Zbl 1254.91584
Fiorentini, Gabriele; Sentana, Enrique; Calzolari, Giorgio
9
2004
Factor representing portfolios in large asset markets. Zbl 1282.91271
Sentana, Enrique
7
2004
Identification, estimation and testing of conditionally heteroskedastic factor models. Zbl 0977.62111
Sentana, Enrique; Fiorentini, Gabriele
25
2001
Testing for GARCH effects: A one-sided approach. Zbl 0962.62083
Demos, Antonis; Sentana, Enrique
13
1998
The relation between conditionally heteroskedastic factor models and factor GARCH models. Zbl 1041.91037
Sentana, Enrique
7
1998
Marginalization and contemporaneous aggregation in multivariate GARCH processes. Zbl 0843.62104
Nijman, Theo; Sentana, Enrique
17
1996
Quadratic ARCH models. Zbl 0847.90035
Sentana, Enrique
65
1995
Volatility and links between national stock markets. Zbl 0807.90037
King, Mervyn; Sentana, Enrique; Wadhwani, Sushil
40
1994
all top 5

Cited by 319 Authors

14 Sentana, Enrique
7 Calzolari, Giorgio
7 Fiorentini, Gabriele
5 Lavergne, Christian
5 Saidane, Mohamed
4 Bollerslev, Tim
4 Demos, Antonis
4 Gourieroux, Christian
4 Paolella, Marc S.
4 Renault, Eric
3 Arvanitis, Stelios
3 Bodnar, Taras
3 Bouchaud, Jean-Philippe
3 Christodoulakis, George A.
3 Francq, Christian
3 Gagliardini, Patrick
3 Hafner, Christian Matthias
3 Lombardi, Marco J.
3 Surgailis, Donatas
3 Teräsvirta, Timo
3 Zakoïan, Jean-Michel
2 Amengual, Dante
2 Bali, Turan G.
2 Barigozzi, Matteo
2 Blanc, Pierre
2 Chicheportiche, Rémy
2 Dovonon, Prosper
2 Fan, Jianqing
2 Hallin, Marc
2 Härdle, Wolfgang Karl
2 Hong, Yongmiao
2 Jondeau, Eric
2 Lee, Sangyeol
2 Ling, Shiqing
2 Liu, Jichun
2 Lütkepohl, Helmut
2 McAleer, Michael
2 Meddahi, Nour
2 Milunovich, George
2 Mittnik, Stefan
2 Pitt, Michael K.
2 Preminger, Arie
2 Ruiz, Esther
2 Satchell, Stephen Ellwood
2 Schmid, Wolfgang
2 Shephard, Neil
2 Spokoiny, Vladimir G.
2 Storti, Giuseppe
2 Theodossiou, Panayiotis
2 Todorov, Viktor
2 Veredas, David
2 Werker, Bas J. M.
2 Zaffaroni, Paolo
2 Zhou, Cheng
1 Abadir, Karim M.
1 Adcock, C. J.
1 Aguilar, Mike
1 Aknouche, Abdelhakim
1 Amado, Cristina
1 Anwar, Sajid
1 Anyfantaki, Sofia
1 Appadoo, S. S.
1 Ardia, David
1 Arellano, Manuel
1 Asai, Manabu
1 Ausín, María Concepción
1 Aydemir, A. Cevdet
1 Baillie, Richard T.
1 Bauer, Gregory H.
1 Bernard, Jean-Thomas
1 Bessler, David A.
1 Blasques, Francisco
1 Bonato, Matteo
1 Bonhomme, Stéphane
1 Bontemps, Christian
1 Bornn, Luke
1 Boswijk, H. Peter
1 Boutahar, Mohamed
1 Broto, Carmen
1 Bry, Xavier
1 Calvet, Laurent-Emmanuel
1 Cano-Berlanga, Sebastián
1 Cao, Ricardo
1 Carrasco, Marine
1 Castro-Camilo, Daniela
1 Chen, Cathy W. S.
1 Chen, Shiyi
1 Chib, Siddhartha
1 Choe, Geon Ho
1 Choi, Moon Soo
1 Chou, Ray Yeutien
1 Chu, Ba
1 Chua, Chew Lian
1 Čížek, Pavel
1 Connor, Gregory
1 Corradi, Valentina
1 Croux, Christophe
1 Czellar, Veronika
1 de Carvalho, Miguel
1 de Jong, Robert M.
...and 219 more Authors
all top 5

Cited in 55 Serials

64 Journal of Econometrics
13 Computational Statistics and Data Analysis
10 Econometric Theory
8 The Econometrics Journal
6 European Journal of Operational Research
6 Quantitative Finance
5 Econometric Reviews
5 Economics Letters
5 Communications in Statistics. Theory and Methods
4 Journal of Time Series Analysis
4 Journal of Economic Dynamics & Control
4 Annals of Operations Research
3 Journal of Statistical Planning and Inference
3 Statistics & Probability Letters
3 Computational Statistics
2 Physica A
2 Journal of Multivariate Analysis
2 Mathematics and Computers in Simulation
2 Journal of Statistical Computation and Simulation
2 Computational Economics
2 Journal of the Royal Statistical Society. Series B. Statistical Methodology
2 Statistical Methods and Applications
2 Journal of the Korean Statistical Society
2 AStA. Advances in Statistical Analysis
2 Journal of Time Series Econometrics
1 Advances in Applied Probability
1 The Canadian Journal of Statistics
1 Lithuanian Mathematical Journal
1 Metrika
1 Scandinavian Journal of Statistics
1 Chaos, Solitons and Fractals
1 The Annals of Statistics
1 Journal of the American Statistical Association
1 Kybernetes
1 Metron
1 Mathematical Social Sciences
1 Applied Mathematics Letters
1 Mathematical and Computer Modelling
1 Neural Computation
1 Communications in Statistics. Simulation and Computation
1 Statistical Papers
1 Australian & New Zealand Journal of Statistics
1 Chaos
1 Statistical Inference for Stochastic Processes
1 Applied Stochastic Models in Business and Industry
1 Journal of Industrial and Management Optimization
1 Journal of Forecasting
1 Journal of Statistical Theory and Practice
1 The Annals of Applied Statistics
1 Science China. Mathematics
1 Journal of Probability and Statistics
1 Statistics and Computing
1 Annals of Finance
1 Journal of Mathematics
1 Journal of Econometric Methods

Citations by Year