| Volatiltiy and links between national stock markets MA King, E Sentana, S Wadhwani National Bureau of Economic Research, 1990 | 1395 | 1990 |
| Quadratic ARCH models E Sentana The Review of Economic Studies 62 (4), 639-661, 1995 | 825 | 1995 |
| Feedback traders and stock return autocorrelations: evidence from a century of daily data E Sentana, S Wadhwani The Economic Journal 102 (411), 415-425, 1992 | 591 | 1992 |
| Unobserved component time series models with ARCH disturbances A Harvey, E Ruiz, E Sentana Journal of econometrics 52 (1-2), 129-157, 1992 | 502 | 1992 |
| Identification, estimation and testing of conditionally heteroskedastic factor models E Sentana, G Fiorentini Journal of econometrics 102 (2), 143-164, 2001 | 336 | 2001 |
| Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models With Student t Innovations G Fiorentini, E Sentana, G Calzolari Journal of Business & Economic Statistics 21 (4), 532-546, 2003 | 206 | 2003 |
| Valuation of VIX derivatives J Mencia, E Sentana Journal of Financial Economics 108 (2), 367-391, 2013 | 201 | 2013 |
| Likelihood‐based estimation of latent generalized ARCH structures G Fiorentini, E Sentana, N Shephard Econometrica 72 (5), 1481-1517, 2004 | 141 | 2004 |
| Multivariate location–scale mixtures of normals and mean–variance–skewness portfolio allocation J Mencía, E Sentana Journal of Econometrics 153 (2), 105-121, 2009 | 138 | 2009 |
| Parametric properties of semi-nonparametric distributions, with applications to option valuation Á León, J Mencía, E Sentana Journal of Business & Economic Statistics 27 (2), 176-192, 2009 | 135 | 2009 |
| Marginalization and contemporaneous aggregation in multivariate GARCH processes T Nijman, E Sentana Journal of Econometrics 71 (1-2), 71-87, 1996 | 122 | 1996 |
| Testing for GARCH effects: a one-sided approach A Demos, E Sentana Journal of econometrics 86 (1), 97-127, 1998 | 117 | 1998 |
| Constrained indirect estimation G Calzolari, G Fiorentini, E Sentana The Review of Economic Studies 71 (4), 945-973, 2004 | 93 | 2004 |
| Underidentification? M Arellano, LP Hansen, E Sentana Journal of Econometrics 170 (2), 256-280, 2012 | 89* | 2012 |
| The rise and fall of the natural interest rate G Fiorentini, A Galesi, G Pérez-Quirós, E Sentana Banco de Espana Working Paper, 2018 | 87 | 2018 |
| Factor representing portfolios in large asset markets E Sentana Journal of Econometrics 119 (2), 257-289, 2004 | 73* | 2004 |
| Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks E Sentana, G Calzolari, G Fiorentini Journal of Econometrics 146 (1), 10-25, 2008 | 69* | 2008 |
| Estimation and testing of dynamic models with generalized hyperbolic innovations J Mencía, E Sentana CEPR Discussion Paper, 2005 | 64 | 2005 |
| The relation between conditionally heteroskedastic factor models and factor GARCH models E Sentana The Econometrics Journal 1 (2), 1-9, 1998 | 61 | 1998 |
| The econometrics of mean‐variance efficiency tests: a survey E Sentana The Econometrics Journal 12 (3), C65-C101, 2009 | 56 | 2009 |
Gabriele FiorentiniUniversity of FlorenceVerified email at disia.unifi.it
