Enrique Sentana is Professor of Economics at Centro de Estudios Monetarios y Financieros (CEMFI) in Madrid. In addition, he is member of the Centre for Economic Policy Research (CEPR) and the Financial Markets Group of the London School of Economics, and a Fellow of the Econometric Society.
In his early works, Dr. Sentana generalized the conditional volatility model of Robert Engle. He has also worked on factor models for financial returns and macroeconomic time series. In addition to his contributions to the time series econometrics, Dr. Sentana has a rich history of publications on the econometrics of financial markets. Specifically, in 1991 he was already studying the predictability of stock returns, finding different patterns in US and Japan. Furthermore, he has published several articles on the econometrics of portfolio management, both in the context of medium-variance boundaries and in extensions that consider the asymmetry in the distributions of financial returns.
Some of his articles have been published in relevant academic journals such as Journal of Financial Economics, Journal of Econometrics, Econometrica, and Review of Economic Studies. He has also been editor of Review of Economics Studies.
In addition, Dr. Sentana has been president of both the Asociación Española de Economía and the Asociación Española de Finanzas. He received a bachelor’s degree in Economics from University of Alicante and a master’s degree in Econometrics and Mathematical Economics from London School of Economics. He earned his Doctorate in Economics from London School of Economics.
More information: www.cemfi.es/~sentana/