Curriculum Vitae
April 2011

Enrique Sentana

Date and place of birth: 8 May 1962, Alicante, Spain.
Marital Status: Married, two children.
Nationality: Spanish.

UNIVERSITY STUDIES

PhD in Economics, LSE (Dissertation: "Time-varying volatility and returns on ordinary shares: an empirical investigation", 1991; supervisor: Sushil Wadhwani).

MSc in Econometrics and Mathematical Economics, LSE, 1987, awarded with a Mark of Distinction.

Licenciado en Ciencias Económicas y Empresariales (BSc in Economics), University of Alicante, 1985, Honours degree awarded with a Mark of Distinction.

PRIZES AND AWARDS

Sayers Prize 1991/92, awarded by the University of London for a distinguished doctorate dissertation.

Ely Devons Prize 1986/87, awarded by the London School of Economics to the best student registered for the MSc in Econometrics and Mathematical Economics.

Premio Nacional de Terminación de Estudios Universitarios en Ciencias Económicas y Empresariales 1984/85, awarded by the Spanish Ministry of Education to the three best national students obtaining a degree in Economics or Business.

Premio Extraordinario de Licenciatura 1984/85, awarded by the University of Alicante to the best student obtaining the degree in Economics or Business.

CURRENT AND PAST APPOINTMENTS

Professor of Economics at CEMFI, October 1998 –. 

Senior Research Associate of the LSE Financial Markets Group, October 1992 –.

Research Fellow of the CEPR Financial Economics Programme, January 1998 –.

Associate Professor of Economics at CEMFI, October 1992 – September 1998 (with tenure since October 1995).

Research Affiliate of the CEPR Financial Economics Programme, January 1994 – December 1997.

Lecturer in Economics at the London School of Economics, October 1990 – September 1992.

Academic Member of the LSE Financial Markets Group, October 1990 – September 1992.

EDITORIAL AND PROFESSIONAL ACTIVITIES

Learned societies

Asociación Española de Economía (Spanish Economic Association): Fellow (January 2008 - ), Past President (January - December 2007), President (January - December 2006), Vicepresident (January - December 2005), Member of the Founding Council (December 1996 - December 2001).

Asociación Española de Finanzas (Spanish Finance Association): President (January 2007 - December 2008), Vicepresident (January - December 2006), Council Member (January - December 2005).

European Standing Committee of the Econometric Society: Treasurer (August 2005- ).

Journals

Review of Economic Studies: Managing Editor (October 2007 - ), Assistant Editor (October 1998 - December 2002), Board Member (January 1995 - September 1998; January 2003 - September 2007), Director (January 2006 - September 2007).

Journal of Financial Econometrics: Co-editor (March 2006 - September 2007), Associate editor (April 2000 - February 2006)

Investigaciones Económicas: Editorial Committee Member (January 1998 - December 2000), Board member (January - December 1997, and January 2001 - December 2004 ).

Associate Editor of Economica (January 1996 - December 2008), European Investment Review (April 2000 - December 2004), Journal of Applied Econometrics (January 2004 - September 2007), Portuguese Review of Financial Markets (January 2001- September 2007), Revista de Economía Aplicada (September 1992 - September 2007), Revista de Economía Financiera (February 2002 - December 2007), and Revista Española de Economía (January 1993 - December 1996).

Fellow of the Journal of Econometrics (December 2010 /).

Conferences

Programme Co-chair of the 66th European Meeting of the Econometric Society (Málaga, August 2012).

Programme Co-chair of the XIII Finance Forum (Madrid, November 2005).

Programme Chair of the XXVI Symposium on Economic Analysis (Alicante, December 2001).

Co-organiser of the 1995 CEPR European Summer Symposium in Financial Markets; the Bank of Spain Economics Seminar (October 1993 -  July 1996); and a Symposium Session on Factor Analysis of Time Series Data at the 1993 European Congress of the Psychometric Society.

Member of the Scientific Committees of the World Congress of the Econometric Society (London, 2005 and Shanghai, 2010), the Spanish Meetings on Financial Economics (Bilbao, 1995 and 1998), the Finance Forum (Barcelona, 2004 and Castellón, 2006), the Symposium on Economic Analysis (Barcelona, 1997 and Pamplona, 2004), the Spanish Meetings on Applied Economics (Barcelona, 1998, Zaragoza, 1999, Granada, 2003, and Vigo, 2004), the Spanish Meetings on International Economics (Tenerife, 2005), the Econometric Society European Meetings (Berlin, 1998, Santiago, 1999, Lausanne, 2001, Venice, 2002, Vienna, 2006, Budapest, 2007, Milan, 2008, Barcelona, 2009 and Oslo, 2011), the European Finance Association Meetings (Barcelona, 2001, Glasgow, 2003, Maastricht, 2004 and Stockholm, 2011), the Annual Conferences of the European Investment Review (Paris, 2001, and London, 2002), the European Economic Association Meetings (Venice, 2002, Stockholm, 2003, Madrid, 2004 and Amsterdam, 2005), and the Latin America and Caribbean Economic Association Meetings (Madrid, 2002).

Research evaluation

Member of the Economic Panel of the Spanish Research Assessment Agency (2003, 2004 and 2005).

Referee for many academic journals and the promotions committees of the several colleges and universities.

INVITED PRESENTATIONS

II Society for Financial Econometrics Annual Conference, Swiss Finance Institute, Geneva (June 2009), Financial Econometrics Conference, Toulouse School of Economics (May 2009), Chicago/London Conference on Financial Markets, Cass Business School (December 2008), Advances in Portfolio Optimization Workshop, Imperial College, London (October 2008), Methods in International Finance Network, 2nd Annual Workshop, IESE Business School, Barcelona (June 2008), Journal of Applied Econometrics Conference on Distributional Dynamics, CEMFI, Madrid (June 2008), Royal Economic Society Annual Conference, Special Session on Financial Econometrics, University of Warwick (March 2008), European Meeting of the Econometric Society, Budapest (August 2007), Financial Econometrics Conference, Imperial College, London (May 2007), Presidential Lecture, XXXI Symposium on Economic Analysis, Oviedo (December 2006), Multivariate Modelling in Finance and Risk Management Conference, Sonderborg (June 2006), Financial Econometrics Workshop, CREST, Paris, (May 2006), Dependence in Finance Conference, Cass Business School, London (May 2006), Financial Econometrics Conference, CIREQ-CIRANO, Montreal (May 2006), Time Series Econometrics Workshop, Queen Mary, University of London (November 2005), ESRC Econometric Study Group Seminar, IFS, London (May 2005), FMG Research Students: A Retrospective, LSE Financial Markets Group (November 2004), Empirical Finance Workshop, University of Aarhus (November 2004), III Workshop on International Economics, Universidad de Málaga (November 2003), XI Foro de Finanzas, Universidad de Alicante (November 2003), Symposium on New Frontiers in Financial Volatility Modelling, Florence (May 2003), Financial Econometrics Conference, CIREQ-CIRANO, Montreal (May 2002), AUEB Financial Econometrics Conference, Delphi (May 2001), III Workshop on Empirical Finance, LSE Financial Markets Group (May 2001), XI EC² Meeting, Trinity College, Dublin (December 2000), XV Jornadas de Alicante sobre Economía Española, Universidad de Alicante (October 2000), III Encuentro de Economía Aplicada, Universidad de Valencia (June 2000), CEMAF/ISCTE V Anniversary Conference, Lisbon (February 2000), X EC2 Meeting, Universidad Carlos III de Madrid (December 1999), XXme Encontre France-Belge de Statisticiens, Université Libre de Bruxelles (November 1999), and ESRC Econometric Study Group Annual Conference, Bristol (July 1997).

RECENT SEMINARS

Universidad de Málaga (April 2011), LBS/UCL Macro Seminar (March 2011), Oxford MAN Institute (March 2011), Warwick Business School (January 2011), Universitat Pompeu Fabra (January 2011), London School of Economics (December 2010), Princeton (October 2010), Wharton School, University of Pennsylvania (October 2010), Universidad de Alicante (May 2010), Università de la Svizzera Italiana (April, 2010), Erasmus University (March 2010), Universidad Complutense (November 2009), Universidad Pablo de Olavide (October 2009), Universitat Pompeu Fabra (October 2009), Universidad Carlos III (October 2009), University of Brown (September 2009), Johns Hopkins University (September 2009), Universidad de Murcia (May 2009), Toulouse School of Economics (May 2009), HEC Paris (March 2009), ESCP-EAP Paris (February 2009), HEC Lausanne (October 2008), University of Pennsylvania (September 2008), Yale University (September 2008), Queen Mary, University of London (December 2007), Kellogg School of Management, Northwestern University, (October 2007), Boston University (September 2007), Athens University of Economics and Business (May 2007), Imperial College (March 2007), New York University (September 2006), Columbia University (September 2006), CREST, INSEE (April 2006), Universidad de Oviedo (March 2006), Université de Toulouse (December 2005), London School of Economics (November 2005), University of California Berkeley (September 2005), Marshall School of Business, University of Southern California (August 2005), Universidad Pública de Navarra (June 2005), Universitá di Firenze (March 2005), Universitat de les Illes Balears (March 2005), INSEAD (December 2004), CORE, Catholic University of Louvain (October 2004), University of Sidney (April 2004), Australian National University (April 2004), Monash University (March 2004), and Universidad de Valencia (March 2004).

DOCTORAL SEMINARS

Q-Finance, University of the Basque Country, May 2005, University of Venice, November 2003, CIDE Summer School, Bertinoro, June 2002, University Pompeu Fabra, Barcelona, February-March 2002, University Tor Vergata, Rome, September 2001, I Royal Economic Society Easter School in Econometrics, Nuffield College, Oxford, April 2001, CEMAF/ISCTE, Lisbon, March 2001, University of Valencia, April 1997, University of Alicante, March and May 1996, and March 1994, and Finnish Postgraduate Programme in Economics, Tampere, September – October 1991.

PhD SUPERVISION

Advisor

Elena Manresa, "Financial applications of underidentification tests", Universidad Internacional Menéndez Pelayo, July 2013 (expected).

Carlos González Aguado, "Dependence and credit risk", Universidad Internacional Menéndez Pelayo, September 2010.

F. Javier Mencía, "An evaluation of the use of non-Gaussian distributions in risk management", Universidad Pública de Navarra, May 2006.

Antonio Díez de los Ríos, "Risk and return in international financial markets: an empirical investigation", Universidad de Malaga, 2004.

Francisco Peñaranda, "Econometric testing in finance: mean-variance spanning, return predictability and derivative pricing", Universidad Complutense de Madrid, 2003.

Ángel León, "Continuous time stochastic processes and their application to the valuation of derivative financial assets", Universidad de Alicante, 1998.

Examiner

Christian Reusch, London School of Economics (September 2008), Laura Hospido, Universidad de Santiago de Compostela (November 2007), Prosper Dovonon, Université de Montreal (November 2007), Helena Chuliá, Universidad de Valencia (October 2007), Pedro Albarrán, Universidad Complutense de Madrid (June 2005), José Olmo, Universidad Carlos III de Madrid (June 2005), Steffen Sørensen, University of York (November 2004), Juan Carlos Escanciano, Universidad Carlos III de Madrid (July 2004), Helena Veiga, Universidad Autónoma de Barcelona (April 2004), Nuno Fernandes, Universidad de Navarra (July 2003), Antonio Rubia, Universidad de Alicante (October 2001), Roberto Pascual, Universidad Carlos III de Madrid (March 2001), Roberto Blanco, Universidad del Pais Vasco (October 1998), Paz Rico, Universidad de Valencia (September 1997) and Mª Victoria Estebán, Universidad del Pais Vasco (March 1996). 

PUBLICATIONS

Articles in refereed journals

  • A comparison of mean-variance efficiency tests, with D. Amengual, Journal of Econometrics 154 (1), pp. 16-34, January 2010. (Supplemental material).
  • Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation, with J. Mencía, Journal of Econometrics 153 (2), pp. 105-121, December 2009. (Supplemental material).
  • The econometrics of mean-variance efficiency tests: A survey, Econometrics Journal 12 (3), pp. C65-C101, November 2009.
  • Parametric properties of seminonparametric distributions, with applications to option valuation, with A. León and J. Mencía, Journal of Business and Economic Statistics 27 (2), pp. 176-192, April 2009. (Supplemental material).
  • Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks, with G. Calzolari and G. Fiorentini, Journal of Econometrics 146 (1), pp. 10-25, September 2008. (Supplemental material).
  • Least squares predictions and mean-variance analysis, Journal of Financial Econometrics 3 (1), pp. 56-78, January 2005.
  • Constrained Indirect Estimation, with G. Calzolari and G. Fiorentini, Review of Economic Studies 71 (4), pp. 945-973, October 2004.
  • Likelihood Estimation of Latent Generalised ARCH Structures, with G. Fiorentini and N. Shephard, Econometrica 72 (5), pp. 1481-1517, September 2004.
  • Factor Representing Portfolios in Large Asset Markets, Journal of Econometrics 119 (2), pp. 257-289, April 2004.
  • Mean-Variance Portfolio Allocation with a Value at Risk Constraint, Revista de Economía Financiera 1, pp. 4-14, November 2003.
  • Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroskedastic Dynamic Regression Models with Student t Innovations, with G. Fiorentini and G. Calzolari, Journal of Business and Economic Statistics 21 (4), pp. 532-546, October 2003.
  • Did the EMS Reduce the Cost of Capital?, Economic Journal 112 (482), pp. 786-809, October 2002.
  • Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models, with G. Fiorentini, Journal of Econometrics 102 (2), pp. 143-164, June 2001.
  • The Likelihood Function of Conditionally Heteroskedastic Factor Models, Annales d'Economie et de Statistique 58, pp.1-19, April-June 2000.
  • Conditional Means of Time Series Processes and Time Series Processes for Conditional Means, with G. Fiorentini, International Economic Review 39 (4), pp. 1101-1118, November 1998.
  • An EM Algorithm for Conditionally Heteroskedastic Factor Models, with A. Demos, Journal of Business and Economic Statistics 16 (3), pp. 357-361, July 1998.
  • Marginalization and Contemporaneous Aggregation in Multivariate GARCH Processes, with T. Nijman, Journal of Econometrics 71 (1-2), pp. 71-87, March 1996.
  • Quadratic ARCH Models, Review of Economic Studies 62 (4), pp. 639-661, October 1995.
  • Risk and Return in the Spanish Stock Market, LSE Financial Markets Group Discussion Paper 212, published in Spanish as Riesgo y rentabilidad en el mercado de valores español, Moneda y Crédito 200, pp. 133-160, 1995.
  • Volatility and Links between National Stock Markets, with M.A. King and S.B. Wadhwani, Econometrica 62 (4), pp. 901-933, July 1994.
  • The Econometrics of the Stock Market I: Rationality Tests, Investigaciones Económicas 17 (3), pp. 401-420, September 1993.
  • The Econometrics of the Stock Market II: Asset Pricing, Investigaciones Económicas 17 (3), pp. 421-444, September 1993.
  • Unobserved Component Time Series Models with ARCH Disturbances, with A. Harvey and E. Ruiz, Journal of Econometrics 52 (1-2), pp. 129-157, April-May 1992.
  • Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data, with S.B. Wadhwani, Economic Journal 102 (411), pp. 415-425, March 1992.
  • Semi-Parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan, with S.B. Wadhwani, Review of Economic Studies 58 (3), pp. 547-563, May 1991.

Notes, Comments and Contributions to Volumes

  • On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models, with G. Fiorentini and G. Calzolari, Economics Letters 83 (3), pp. 307-312, June 2004.
  • Comments on "Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics", by O. Barndorf-Nielsen and N. Shephard, Journal of the Royal Statistical Society B, 63(2), pp. 167-241, 2001.
  • Comments on "El coste de capital en los mercados emergentes'', by J. Estrada, Moneda y Crédito, 210, 165-182, 2000.
  • Regression with missing observations on an explanatory variable, Econometric Theory 15, Solution 98.4.4, August 1999.
  • Comments on "Los mercados financieros españoles ante la Unión Monetaria", by F. Restoy, in El "euro" y sus repercusiones sobre la economía española, Fundación BBV, 1999 (English version).
  • Regression with missing observations on an explanatory variable, Econometric Theory 14, Problem 98.4.4, August 1998.
  • Estimation of a Triangular Seemingly Unrelated Regression System by OLS, Econometric Theory 14, Solution 97.2.2, April 1998.
  • Multivariate Regression with Unequal Number of Observations, Econometric Theory 13, Solution 96.3.3, August 1997.
  • Estimation of a Triangular Seemingly Unrelated Regression System by OLS, Econometric Theory 13, Problem 97.2.2, June 1997.
  • Multivariate Regression with Unequal Number of Observations, Econometric Theory 12, Problem 96.3.3, July 1996.
  • Risk and Return in January: Some UK Evidence, with A. Demos and M. Shah, in J. Kaehler and P. Kugler (eds.) Financial Markets Econometrics, pp. 185-202, Physica Verlag, 1993.
  • Comments on "Guía para la estimación de modelos ARCH", by A. Novales and M. Gracia-Díez, Estadística Española 132, 74-80, Jan-Apr 1993.
  • Nota sobre la Inclusión en el Sistema de Precios en un Modelo de Leontief de dos Regímenes de Imposición Indirecta sobre el Consumo (A Note on the Inclusion in the Leontief Price System of two Systems of Indirect Taxation), Investigaciones Económicas 12 (1), January 1988, pp. 169-176.
  • Efectos sobre los precios derivados de la implantación del IVA en el marco de una unión aduanera con la CEE (Effects on prices of the introduction of VAT within the framework of a custom union with the EEC), Caja de Ahorros de Alicante y Murcia, 1986.
  • La actualización de la matriz intersectorial de la economía andaluza: evaluación de alternativas a través del ajuste RAS (Updating the Andalusian input-output tables: Comparison of alternatives with the RAS technique), with A. Pedreño, Revista de Estudios Andaluces 4, pp. 117-146, 1985.

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Last revised: 15 April 2011