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Pedro Santa Clara
Pedro Santa Clara
Millennium bcp Professor of Finance, Nova School of Business and Economics
Verifisert e-postadresse på novasbe.pt - Startside
Tittel
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Sitert av
År
Idiosyncratic risk matters!
A Goyal, P Santa‐Clara
The journal of finance 58 (3), 975-1007, 2003
16792003
There is a risk-return trade-off after all
E Ghysels, P Santa-Clara, R Valkanov
Journal of financial economics 76 (3), 509-548, 2005
13552005
Predicting volatility: getting the most out of return data sampled at different frequencies
E Ghysels, P Santa-Clara, R Valkanov
Journal of Econometrics 131 (1-2), 59-95, 2006
10712006
The MIDAS touch: Mixed data sampling regression models
E Ghysels, P Santa-Clara, R Valkanov
9752004
Momentum has its moments
P Barroso, P Santa-Clara
Journal of Financial Economics 116 (1), 111-120, 2015
8992015
The presidential puzzle: Political cycles and the stock market
P Santa‐Clara, R Valkanov
The Journal of Finance 58 (5), 1841-1872, 2003
7482003
Parametric portfolio policies: Exploiting characteristics in the cross-section of equity returns
MW Brandt, P Santa-Clara, R Valkanov
The Review of Financial Studies 22 (9), 3411-3447, 2009
5982009
Forecasting stock market returns: The sum of the parts is more than the whole
MA Ferreira, P Santa-Clara
Journal of Financial Economics 100 (3), 514-537, 2011
5822011
Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets
MW Brandt, P Santa-Clara
Journal of financial economics 63 (2), 161-210, 2002
460*2002
A simulation approach to dynamic portfolio choice with an application to learning about return predictability
MW Brandt, A Goyal, P Santa-Clara, JR Stroud
The Review of Financial Studies 18 (3), 831-873, 2005
4522005
A structural model of default risk
JC Hsu, J Saá-Requejo, P Santa-Clara
Journal of Fixed Income 19 (3), 77, 2010
441*2010
Crashes, volatility, and the equity premium: Lessons from S&P 500 options
P Santa-Clara, S Yan
The Review of Economics and Statistics 92 (2), 435-451, 2010
4102010
International risk sharing is better than you think, or exchange rates are too smooth
MW Brandt, JH Cochrane, P Santa-Clara
Journal of monetary economics 53 (4), 671-698, 2006
4082006
Flexible multivariate GARCH modeling with an application to international stock markets
O Ledoit, P Santa-Clara, M Wolf
Review of Economics and Statistics 85 (3), 735-747, 2003
3612003
Two trees
JH Cochrane, FA Longstaff, P Santa-Clara
The Review of Financial Studies 21 (1), 347-385, 2008
3152008
Multifactor models and their consistency with the ICAPM
P Maio, P Santa-Clara
Journal of Financial Economics 106 (3), 586-613, 2012
2952012
Dynamic portfolio selection by augmenting the asset space
MW Brandt, P Santa‐Clara
The journal of Finance 61 (5), 2187-2217, 2006
2862006
The relative valuation of caps and swaptions: Theory and empirical evidence
FA Longstaff, P Santa‐Clara, ES Schwartz
The Journal of Finance 56 (6), 2067-2109, 2001
2612001
Option strategies: Good deals and margin calls
P Santa-Clara, A Saretto
Journal of Financial Markets 12 (3), 391-417, 2009
2422009
The dynamics of the forward interest rate curve with stochastic string shocks
P Santa-Clara, D Sornette
The Review of Financial Studies 14 (1), 149-185, 2001
2272001
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Artikler 1–20