Instructors

Enrique Sentana, CEMFI

Dates

24-28 November 2025

Hours

Monday to Friday from 17:00 to 19:00. Practical Sessions on Tuesday and Thursday from 19:30 to 20:30.

Language

Spanish (with slides in English)

Intended for

Professionals working in the financial sector who want to learn econometric techniques applied to economic forecasting, portfolio management, financial consulting, and risk control.

Prerequisites

While the theoretical classes will be largely self-contained, a basic knowledge of econometrics and financial theory at the undergraduate level is recommended.

Overview

The use of quantitative methods in financial markets has experienced extraordinary growth over the last four decades. Today, financial professionals routinely use sophisticated statistical techniques, many of which are at the forefront of academic research. The purpose of this course is to present some of the most important econometric methods that are commonly used in financial markets, with a particular focus on studying their dynamic aspects and their relationship with macroeconomic magnitudes.

Practical Classes

The practical sessions will illustrate the topics with examples for better understanding. The Statistical software package Stata will be used as an econometric tool to apply the techniques shown.

Topics

• Univariate linear time series models: ARMA and unit roots.
• Multivariate linear time series models: VAR, cointegration, and impulse-response analysis.
• Linear state space models: Kalman filter, dynamic factor models.
• Volatility and correlation: GARCH and stochastic volatility, principal components, and other covariance structures.
• Beyond second moments: extreme values, copulas, and nonlinear dependence.

Enrique Sentana has been a Full Professor of Economics at the CEMFI in Madrid since 1992. During this time, he has also collaborated as a Researcher with the Financial Markets Group of the London School of Economics (LSE) and the CEPR. Previously, he was a Full Professor in the Department of Economics at LSE. He is a Fellow of the Econometric Society, the Society for Financial Econometrics, and the International Association for Applied Econometrics, and a member of the Academia Europaea. The 2014 King Jaume I Prize for his outstanding scientific work in Economics, he has also been President of the Spanish Finance Association (2007-2008), President of the Spanish Economic Association (2006) and Executive Vice President of the Econometrics Society (2018-2022). He was an editor for the Review of Economic Studies, coeditor for the Journal of Financial Econometrics, and associate editor for several journals, including Económica, European Investment Review, and Journal of Applied Econometrics.

He holds a Bachelor's degree in Economics from the University of Alicante, an MSc in Econometrics and Mathematical Economics from the London School of Economics, and a Ph.D. in Economics from the same institution.