Overview
Enrique Sentana is Research Professor at CEMFI (Centro de Estudios Monetarios y Financieros) in Madrid. He works on financial econometrics, GARCH models, latent factor models, and semiparametric estimation. He introduced the QARCH (Quadratic ARCH) model, which nests standard ARCH and allows asymmetric variance responses to signed shocks.
Key Contributions / Features
- QARCH model (Sentana 1995, RES): ht=ω+α′ϵt−1+ϵt−1′Γϵt−1; nests ARCH as a special case; the off-diagonal elements of Γ allow variance to respond to the sign as well as magnitude of past shocks.
- Conditional mean dynamics (with Fiorentini, 1998): Proposition 1 on ARMA structure of conditional means; GARCH-M nonneg-ACF constraint; P∞ persistence identity; bivariate white-noise/return-predictability result.
- Extensive work on semiparametric efficiency bounds for GARCH and factor models (with Fiorentini and others).
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