Loading...

← Back to Leaderboard

Enrique Sentana

Global rank #752 99%

Institution: Centro de Estudios Monetarios y Financieros (CEMFI)

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: http://www.cemfi.es/~sentana

First Publication: 1991

Most Recent: 2025

RePEc ID: pse39 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 8.88 2.35 0.00 20.44
Last 10 Years 0.00 13.24 4.02 0.00 31.34
All Time 3.69 26.98 4.02 0.00 73.90

Publication Statistics

Raw Publications 40
Coauthorship-Adjusted Count 37.19

Publications (40)

Year Article Journal Tier Authors
2025 Identification, inference and risk Journal of Econometrics A 4
2025 Score-type tests for normal mixtures Journal of Econometrics A 4
2025 Information matrix tests for multinomial logit models Economics Letters C 3
2025 Reprint of: Finite underidentification Journal of Econometrics A 1
2024 Specification tests for non-Gaussian structural vector autoregressions Journal of Econometrics A 3
2024 GDP Solera: The Ideal Vintage Mix Journal of Business & Economic Statistics A 4
2024 Finite underidentification Journal of Econometrics A 1
2023 Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions Journal of Econometrics A 2
2023 Empirical evaluation of overspecified asset pricing models Journal of Financial Economics A 3
2022 Normal but skewed? Journal of Applied Econometrics B 3
2021 New testing approaches for mean–variance predictability Journal of Econometrics A 2
2021 Specification tests for non‐Gaussian maximum likelihood estimators Quantitative Economics B 2
2021 The Jacobian of the exponential function Journal of Economic Dynamics and Control B 3
2020 Is a Normal Copula the Right Copula? Journal of Business & Economic Statistics A 2
2020 Testing distributional assumptions using a continuum of moments Journal of Econometrics A 3
2020 Zero-diagonality as a linear structure Economics Letters C 2
2019 Normality tests for latent variables Quantitative Economics B 3
2019 Consistent non-Gaussian pseudo maximum likelihood estimators Journal of Econometrics A 2
2019 Dynamic specification tests for dynamic factor models Journal of Applied Econometrics B 2
2018 A spectral EM algorithm for dynamic factor models Journal of Econometrics A 3
2018 Volatility-Related Exchange Traded Assets: An Econometric Investigation Journal of Business & Economic Statistics A 2
2015 A Unifying Approach to the Empirical Evaluation of Asset Pricing Models Review of Economics and Statistics A 2
2014 Comment Journal of Business & Economic Statistics A 2
2013 Sequential estimation of shape parameters in multivariate dynamic models Journal of Econometrics A 3
2013 Valuation of VIX derivatives Journal of Financial Economics A 2
2012 Underidentification? Journal of Econometrics A 3
2012 Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations Review of Economics and Statistics A 2
2012 Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach Journal of Econometrics A 2
2010 A comparison of mean-variance efficiency tests Journal of Econometrics A 2
2009 Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation Journal of Econometrics A 2
2008 Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks Journal of Econometrics A 3
2004 On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models Economics Letters C 3
2004 Constrained Indirect Estimation Review of Economic Studies S 3
2004 Factor representing portfolios in large asset markets Journal of Econometrics A 1
2001 Identification, estimation and testing of conditionally heteroskedastic factor models Journal of Econometrics A 2
1998 Testing for GARCH effects: a one-sided approach Journal of Econometrics A 2
1996 Marginalization and contemporaneous aggregation in multivariate GARCH processes Journal of Econometrics A 2
1995 Quadratic ARCH Models Review of Economic Studies S 1
1992 Unobserved component time series models with Arch disturbances Journal of Econometrics A 3
1991 Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan Review of Economic Studies S 2