Enrique Sentana has been Professor of Economics at CEMFI in Madrid since 1992. During this time, he has also been affiliated as a Researcher with the London School of Economics (LSE) Financial Markets Group and CEPR. Prior to that, he was a Lecturer at the LSE Economics Department. He is a Fellow of the Econometric Society and a former President of both the Spanish Finance Association (2007-2008) and the Spanish Economic Association (2006). He has served as Editor of the Review of Economic Studies (2007-11), Co-editor of the Journal of Financial Econometrics (2006-07) and Associate Editor of several other journals. He has also been Scientific Organiser of the European Meetings of the Econometric Society (2012), the Finance Forum (2005) and the Symposium of Economic Analysis (2001). He has served on the Economic Panel of the Spanish Research Assessment Agency (2003-2005), and as an external referee for the promotions committees of many internationally renowned academic institutions. His work in financial econometrics has included developing multivariate dynamic factor models for time-varying volatilities and correlations. He has also worked on the predictability of stock returns and exchange rates, volatility derivatives, inference methods for mean variance frontiers, identification tests of structural models and estimation by simulation. More recently, he has studied (conditional) distributions for financial returns, with applications to portfolio allocation, option valuation and risk management, as well as diagnostics for dynamic factor models, which are popular in empirical term structure and macroeconomic applications. He holds a BSc in Economics from the University of Alicante, an MSc in Econometrics and Mathematical Economics from the London School of Economics and a PhD in Economics from the same institution.
DP14914 Gaussian rank correlation and regression
The VIX and its derivatives
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- Financial Markets !(../../../../../../../../../../var/folders/34/zq18d8kx7kbgby0j06p_j6t40000gn/T/TemporaryItems/NSIRD_screencaptureui_EM2XPo/Screenshot 2022-01-04 at 17.01.16.png)
- International Finance