Enrique Sentana : Citation Profile

Centre for Economic Policy Research (CEPR) (1% share)
Centro de Estudios Monetarios y Financieros (CEMFI) (98% share)
London School of Economics (LSE) (1% share)

21

H index

35

i10 index

2396

Citations

RESEARCH PRODUCTION:

64

Articles

176

Papers

4

Chapters

RESEARCH ACTIVITY:

   37 years (1988 - 2025). See details.
   Cites by year: 64
   Journals where Enrique Sentana has often published
   Relations with other researchers
   Recent citing documents: 65.    Total self citations: 130 (5.15 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pse39
   Updated: 2025-07-12    RAS profile: 2025-03-14    
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Relations with other researchers

Works with:

Fiorentini, Gabriele (28)

Amengual, Dante (15)

Almuzara, Martin (7)

Carrasco, Marine (3)

Magnus, Jan (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Enrique Sentana.

Is cited by:

Ruiz, Esther (43)

Renault, Eric (37)

Rigobon, Roberto (35)

Weber, Enzo (34)

Demos, Antonis (33)

Hallin, Marc (33)

Pesaran, Mohammad (32)

Barigozzi, Matteo (32)

Diebold, Francis (31)

Bollerslev, Tim (31)

Normandin, Michel (30)

Cites to:

Fiorentini, Gabriele (123)

Hansen, Lars (47)

Engle, Robert (46)

Calzolari, Giorgio (40)

Mencia, Javier (35)

Amengual, Dante (32)

Campbell, John (26)

Tauchen, George (25)

Newey, Whitney (24)

pagan, adrian (21)

Dufour, Jean-Marie (21)

Main data

Where Enrique Sentana has published?

Journals with more than one article published# docs
Journal of Econometrics21
Investigaciones Economicas5
Journal of Business & Economic Statistics4
The Review of Economic Studies3
SERIEs: Journal of the Spanish Economic Association3
Journal of Business & Economic Statistics3
Economics Letters3
The Review of Economics and Statistics2
Econometrics Journal2
International Economic Review2
Journal of Applied Econometrics2
Quantitative Economics2
Econometrica2
Economic Journal2
Journal of Financial Econometrics2
Journal of Financial Economics2

Working Papers Series with more than one paper published# docs
CEPR Discussion Papers / C.E.P.R. Discussion Papers24
Working Paper series / Rimini Centre for Economic Analysis10
Working Papers / Banco de Espańa8
Econometrics Working Papers Archive / Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"7
Working Papers. Serie AD / Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)5
Staff Reports / Federal Reserve Bank of New York2
Tinbergen Institute Discussion Papers / Tinbergen Institute2

Recent works citing Enrique Sentana (2025 and 2024)

YearTitle of citing document
2024Partially identified heteroskedastic SVARs. (2024). Bastianin, Andrea ; Bacchiocchi, Emanuele ; Kitagawa, Toru ; Mirto, Elisabetta. In: FEEM Working Papers. RePEc:ags:feemwp:343513.

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2024Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm. (2024). Luciani, Matteo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1910.03821.

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2024Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review. (2024). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777.

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2024Dynamic Factor Models: a Genealogy. (2024). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278.

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2024Partially identified heteroskedastic SVARs. (2024). Bastianin, Andrea ; Bacchiocchi, Emanuele ; Kitagawa, Toru ; Mirto, Elisabetta. In: Papers. RePEc:arx:papers:2403.06879.

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2024Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference. (2024). Uzeda, Luis ; LĂźtkepohl, Helmut ; Wo, Tomasz ; Lutkepohl, Helmut ; Shang, Fei. In: Papers. RePEc:arx:papers:2404.11057.

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2024SVARs with breaks: Identification and inference. (2024). Bacchiocchi, Emanuele ; Kitagawa, Toru. In: Papers. RePEc:arx:papers:2405.04973.

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2025Pricing and calibration in the 4-factor path-dependent volatility model. (2025). Guyon, Julien ; Gazzani, Guido. In: Papers. RePEc:arx:papers:2406.02319.

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2024Identification of structural shocks in Bayesian VEC models with two-state Markov-switching heteroskedasticity. (2024). Kwiatkowski, Lukasz ; Wr, Justyna. In: Papers. RePEc:arx:papers:2406.03053.

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2024Improving Estimation of Portfolio Risk Using New Statistical Factors. (2024). Tsay, Ruey ; Chen, Rong ; Guerard, John ; Liu, Xialu. In: Papers. RePEc:arx:papers:2409.17182.

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2025Strong Solutions and Quantization-Based Numerical Schemes for a Class of Non-Markovian Volatility Models. (2025). Pages, Gilles ; Grasselli, Martino. In: Papers. RePEc:arx:papers:2503.00243.

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2025Residual Income Valuation and Stock Returns: Evidence from a Value-to-Price Investment Strategy. (2025). Haboub, Ahmad ; Kartsaklas, Aris ; Sarafidis, Vasilis. In: Papers. RePEc:arx:papers:2506.00206.

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2024Identification based on higher moments. (2024). Lewis, Daniel. In: CeMMAP working papers. RePEc:azt:cemmap:03/24.

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2025Estimation of Non-Gaussian SVAR Using Tensor Singular Value Decomposition. (2025). Stevanovic, Dalibor ; Guay, Alain. In: Working Papers. RePEc:bbh:wpaper:25-03.

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2024Inequality and the zero lower bound. (2024). Rachedi, Omar ; NuĂąo Barrau, Galo ; Fernandez-Villaverde, Jesus ; Marbet, Joel. In: BIS Working Papers. RePEc:bis:biswps:1160.

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2024Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations. (2024). Veljovi, Mirjana ; Obradovi, Marko ; Miloevi, Bojana ; Meintanis, Simos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:2:p:298-319.

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2024Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility. (2024). Yu, Jin ; Liu, Guangying ; Hao, Hongxia ; Lin, Jin Guan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:613-638.

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2024Information matrix tests for multinomial logit models. (2024). Fiorentini, Gariele ; Sentan, Enrique ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2024_2406.

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2024Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference. (2024). Uzeda, Luis ; LĂźtkepohl, Helmut ; Woniak, Tomasz ; Lutkepohl, Helmut ; Shang, Fei. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2081.

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2024Identification of vector autoregressive models with nonlinear contemporaneous structure. (2024). Moneta, Alessio ; Doremus, Nicolas ; Cordoni, Francesco. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:162:y:2024:i:c:s0165188924000447.

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2025Is U.S. real output growth non-normal? A tale of time-varying location and scale. (2025). Demetrescu, Matei ; Kruse-Becher, Robinson. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:171:y:2025:i:c:s0165188924002240.

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2024Econometric issues in the estimation of the natural rate of interest. (2024). Buncic, Daniel. In: Economic Modelling. RePEc:eee:ecmode:v:132:y:2024:i:c:s0264999323004534.

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2025Explaining the causality between trading volume and stock returns: What drives its cross-quantile patterns?. (2025). Gebka, Bartosz. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000720.

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2025Spatial linkages of positive feedback trading among the stock index futures markets. (2025). Liu, Shuyi ; Tian, Shuxi ; Mu, Lijie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002407.

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2025Do US sectoral contagion and news-based economic policy uncertainty cause fear or greed behavior in Bitcoin investors?. (2025). Suleman, Muhammad Tahir ; Sheikh, Umaid A. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000695.

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2024Locally robust inference for non-Gaussian linear simultaneous equations models. (2024). Mesters, Geert ; Lee, Adam. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407623003639.

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2024Some fixed-b results for regressions with high frequency data over long spans. (2024). Vogelsang, Timothy J ; Hwang, Taeyoon. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s0304407624001192.

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2024Consistent causal inference for high-dimensional time series. (2024). Cordoni, Francesco ; Sancetta, Alessio. In: Journal of Econometrics. RePEc:eee:econom:v:246:y:2024:i:1:s0304407624002537.

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2025Inference on dynamic systemic risk measures. (2025). Francq, Christian ; Zakoan, Jean-Michel. In: Journal of Econometrics. RePEc:eee:econom:v:247:y:2025:i:c:s0304407624002872.

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2025Simulation-based estimation with many auxiliary statistics applied to long-run dynamic analysis. (2025). Antoine, Bertille ; Sun, Wenqian. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s030440762400160x.

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2025Uncovering asset market participation from household consumption and income. (2025). Czellar, Veronika ; le Grand, Franois ; Garcia, Ren. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624002124.

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2025Identification-robust and simultaneous inference in multifactor asset pricing models. (2025). Beaulieu, Marie-Claude ; Dufour, Jean-Marie ; Khalaf, Lynda. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624002665.

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2024Financial markets and legal challenges to unconventional monetary policy. (2024). Pfarrhofer, Michael ; Huber, Florian ; Griller, Stefan. In: European Economic Review. RePEc:eee:eecrev:v:163:y:2024:i:c:s0014292124000096.

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2024Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility. (2024). Yamakami, Tomohisa ; Shiraya, Kenichiro. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:3:p:1195-1214.

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2024Option valuation via nonaffine dynamics with realized volatility. (2024). Wang, Zerong ; Zhang, Yuanyuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000215.

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2024The risk–return tradeoff among equity factors. (2024). Barroso, Pedro ; Maio, Paulo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000537.

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2024Unraveling the structural sources of oil production and their impact on CO2 emissions. (2024). Wang, Shu ; Herwartz, Helmut ; Theilen, Bernd. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001968.

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2024When one domino falls, others follow: A machine learning analysis of extreme risk spillovers in developed stock markets. (2024). Shafiullah, Muhammad ; Karim, Sitara ; Naeem, Muhammad Abubakr. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001340.

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2024The spillover effects of U.S. uncertainties on the systemic tail risk of Chinese enterprises. (2024). Liu, Liping ; Xu, Jietian. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004690.

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2024GMM weighting matrices in cross-sectional asset pricing tests. (2024). Laurinaityte, Nora ; Thimme, Julian ; Meinerding, Christoph ; Schlag, Christian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:162:y:2024:i:c:s0378426624000438.

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2025Information spillover in markets with heterogeneous traders. (2025). Liu, Heng ; Huangfu, Bingchao. In: Journal of Economic Theory. RePEc:eee:jetheo:v:223:y:2025:i:c:s0022053124001546.

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2025Gaussian dependence structure pairwise goodness-of-fit testing based on conditional covariance and the 20/60/20 rule. (2025). Jelito, Damian ; Jaworski, Piotr ; Wony, Jakub ; Wyomaska, Agnieszka ; Pitera, Marcin. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:206:y:2025:i:c:s0047259x24001039.

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2024Estimating the Fed’s unconventional policy shocks. (2024). Jarociński, Marek ; Jarociski, Marek. In: Journal of Monetary Economics. RePEc:eee:moneco:v:144:y:2024:i:c:s0304393224000011.

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2025Analyzing clustered factors in the cryptocurrency market with Random Matrix Theory. (2025). Mattera, Raffaele ; Gonzlez, Laura Molero ; Cerqueti, Roy ; Snchez, Miguel Ngel ; Trinidad, Juan Evangelista. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:665:y:2025:i:c:s0378437125001256.

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2024The forward premium anomaly and the currency carry trade hypothesis. (2024). Tzavalis, Elias ; Smyrnakis, Dimitris ; Elias, Nikolaos. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:203-218.

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2024Arbitrage opportunities and feedback trading in regulated bitcoin futures market: An intraday analysis. (2024). Wang, Jinghua ; Ngene, Geoffrey M. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:743-761.

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2025The COVID-19 pandemic and feedback trading dynamics: Unveiling global patterns. (2025). Tang, Chia-Hsien ; Huang, Ya-Ling ; Chen, Chan-Shin ; Lee, Yen-Hsien. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pb:s0275531924004318.

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2025Event-driven changes in connectedness among commodities and commodity currencies: A quantile, network and probabilistic analysis. (2025). Kočenda, Evžen ; Albrecht, Peter ; de Oliveira, Alexandre Silva ; Koenda, Even ; Ceretta, Paulo Sergio ; Drbek, Michal. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531925000376.

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2024Partially identified heteroskedastic SVARs. (2024). Bastianin, Andrea ; Bacchiocchi, Emanuele ; Kitagawa, Toru ; Mirto, Elisabetta. In: Working Papers. RePEc:fem:femwpa:2024.15.

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2025An Adaptive Evolutionary Causal Dynamic Factor Model. (2025). Wei, Qian ; Zhang, Heng-Guo. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:11:p:1891-:d:1672599.

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2024On the dependence structure of European vegetable oil markets. (2024). Menier, Romain ; Bagnarosa, Guillaume ; Gohin, Alexandre. In: Post-Print. RePEc:hal:journl:hal-04523660.

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2024The Effects of Overnight Events on Daytime Return: A Market Microstructure Analysis of Market Quality. (2024). Pullaykkodi, Sreekha ; Acharya, Rajesh H. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:31:y:2024:i:3:d:10.1007_s10690-023-09424-9.

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2024Bitcoin, speculative sentiments and crypto-assets valuation. (2024). Tut, Daniel. In: MPRA Paper. RePEc:pra:mprapa:120866.

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2024Feedback Trading and Its Implications for Return Autocorrelations in India During COVID. (2024). Mukherjee, Paramita ; Chatterjee, Rajashri. In: Journal of Emerging Market Finance. RePEc:sae:emffin:v:23:y:2024:i:2:p:246-270.

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2024Efficient portfolios and extreme risks: a Pareto–Dirichlet approach. (2024). Courtois, Olivier ; Xu, Xia. In: Annals of Operations Research. RePEc:spr:annopr:v:335:y:2024:i:1:d:10.1007_s10479-023-05507-y.

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2024Time varying risk aversion and its connectedness: evidence from cryptocurrencies. (2024). Corbet, Shaen ; Hu, Yang ; Hou, Yang ; Oxley, Les. In: Annals of Operations Research. RePEc:spr:annopr:v:338:y:2024:i:2:d:10.1007_s10479-024-06001-9.

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2025Improving estimation of portfolio risk using new statistical factors. (2025). Tsay, Ruey ; Chen, Rong ; Guerard, John ; Liu, Xialu. In: Annals of Operations Research. RePEc:spr:annopr:v:346:y:2025:i:1:d:10.1007_s10479-024-06307-8.

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2025Modelling bitcoin volatility: a comparative analysis of alternatives to the GARCH approach. (2025). , Aslam ; Khodabaccus, Noorshanaaz. In: SN Business & Economics. RePEc:spr:snbeco:v:5:y:2025:i:6:d:10.1007_s43546-025-00838-3.

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2024Identification of one independent shock in structural VARs. (2024). Moneta, Alessio ; Fiorentini, Gabriele ; Papagni, Francesca. In: LEM Papers Series. RePEc:ssa:lemwps:2024/28.

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2024Impact of return and volatility spillover from banking industry to other industries: An evidence from Pakistan. (2024). Bhutta, Nousheen Tariq ; Mir, Fahad Waqas. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:2:p:1680-1695.

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2024Can technical indicators based on underlying assets help to predict implied volatility index. (2024). Tingting, Ying ; Shi, Yanlong ; Yafeng, Shi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:1:p:57-74.

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2024VIX option pricing through nonaffine GARCH dynamics and semianalytical formula. (2024). Zhang, Yuanyuan ; Wang, QI ; Liu, Junting. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:7:p:1189-1223.

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2024Specification testing for conditional moment restrictions under local identification failure. (2024). Gospodinov, Nikolay ; Dovonon, Prosper. In: Quantitative Economics. RePEc:wly:quante:v:15:y:2024:i:3:p:849-891.

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2025Double robust inference for continuous updating GMM. (2025). Zhan, Zhaoguo ; Kleibergen, Frank. In: Quantitative Economics. RePEc:wly:quante:v:16:y:2025:i:1:p:295-327.

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2025Monetary policy at the turn of financial markets: A forerunner or follower?. (2025). Talam, Camilla ; Osoro, Jared. In: KBA Centre for Research on Financial Markets and Policy Working Paper Series. RePEc:zbw:kbawps:316415.

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Works by Enrique Sentana:

YearTitleTypeCited
2000The Likelihood Function of Conditionally Heteroskedastic Factor Models In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article8
2007Testing Uncovered Interest Parity: A Continuous-Time Approach In: Staff Working Papers.
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2007Testing Uncovered Interest Parity: A Continuous-Time Approach.(2007) In: Working Papers.
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2007Testing Uncovered Interest Parity: A Continuous-Time Approach.(2007) In: CEPR Discussion Papers.
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2011TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH.(2011) In: International Economic Review.
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This paper has nother version. Agregated cites: 17		article
2007Parametric properties of semi-nonparametric distributions, with applications to option valuation In: Working Papers.
[Full Text][Citation analysis]		paper50
2009Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation.(2009) In: Journal of Business & Economic Statistics.
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2005Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation.(2005) In: Working Papers.
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2005Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation.(2005) In: CEPR Discussion Papers.
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2007Parametric properties of semi-nonparametric distributions, with applications to option valuation.(2007) In: LSE Research Online Documents on Economics.
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2009Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation In: Working Papers.
[Full Text][Citation analysis]		paper43
2008Multivariate Location-Scale Mixtures of Normals and Mean-Variance-skewness Portfolio Allocation.(2008) In: Working Papers.
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2009Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation.(2009) In: Journal of Econometrics.
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2009Distributional tests in multivariate dynamic models with Normal and Student t innovations In: Working Papers.
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2008Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations.(2008) In: Working Papers.
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2012Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations.(2012) In: The Review of Economics and Statistics.
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2012Valuation of vix derivatives In: Working Papers.
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2009Valuation of VIX Derivatives.(2009) In: Working Papers.
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2010Valuation of VIX Derivatives.(2010) In: CEPR Discussion Papers.
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2013Valuation of VIX derivatives.(2013) In: Journal of Financial Economics.
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2015Volatility-related exchange traded assets: an econometric investigation In: Working Papers.
[Full Text][Citation analysis]		paper5
2015Volatility-Related Exchange Traded Assets: An Econometric Investigation.(2015) In: Working Papers.
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2015Volatility-related exchange traded assets: an econometric investigation.(2015) In: CEPR Discussion Papers.
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2018Volatility-Related Exchange Traded Assets: An Econometric Investigation.(2018) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 5		article
2015Fast ML estimation of dynamic bifactor models: an application to European inflation. In: Working Papers.
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2015Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation.(2015) In: Working Papers.
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2015Fast ML estimation of dynamic bifactor models: an application to European inflation.(2015) In: CEPR Discussion Papers.
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2016Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation.(2016) In: Advances in Econometrics.
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2016A spectral EM algorithm for dynamic factor models In: Working Papers.
[Full Text][Citation analysis]		paper14
2014A Spectral EM Algorithm for Dynamic Factor Models.(2014) In: Working Papers.
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2015A spectral EM algorithm for dynamic factor models.(2015) In: CEPR Discussion Papers.
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2018A spectral EM algorithm for dynamic factor models.(2018) In: Journal of Econometrics.
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2018The rise and fall of the natural interest rate In: Working Papers.
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2018The Rise and Fall of the Natural Interest Rate.(2018) In: Working Papers.
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