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Details about Pedro Santa-Clara

Homepage:http://docentes.fe.unl.pt/~psc/
Workplace:School of Business and Economics, Universidade Nova de Lisboa (Nova University of Lisbon), (more information at EDIRC)

Access statistics for papers by Pedro Santa-Clara.

Last updated 2016-04-18. Update your information in the RePEc Author Service.

Short-id: psa1486


Jump to Journal Articles

Working Papers

2011

  1. Does Institutional Ownership Matter for International Stock Return Comovement?
    EcoMod2011, EcoMod Downloads
  2. Optimal Option Portfolio Strategies
    EcoMod2011, EcoMod Downloads

2008

  1. Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article in Journal of Financial Economics (2011)

2005

  1. Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads View citations (2)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) Downloads View citations (1)

    See also Journal Article in Review of Financial Studies (2009)

2004

  1. A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    See also Journal Article in Review of Financial Studies (2005)
  2. Dynamic Portfolio Selection by Augmenting the Asset Space
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
    Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (2004) Downloads View citations (6)

    See also Journal Article in Journal of Finance (2006)
  3. Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads View citations (8)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) Downloads View citations (8)
  4. Option Strategies: Good Deals and Margin Calls
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads View citations (1)
    See also Journal Article in Journal of Financial Markets (2009)
  5. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (13)
    Also in CIRANO Working Papers, CIRANO (2004) Downloads View citations (23)

    See also Journal Article in Journal of Econometrics (2006)
  6. The MIDAS Touch: Mixed Data Sampling Regression Models
    CIRANO Working Papers, CIRANO Downloads View citations (167)
    Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (2004) Downloads View citations (155)
  7. There is a Risk-Return Tradeoff After All
    CIRANO Working Papers, CIRANO Downloads View citations (17)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) Downloads View citations (18)
    CIRANO Working Papers, CIRANO (2003) Downloads View citations (3)

    See also Journal Article in Journal of Financial Economics (2005)
  8. Two Trees
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads
    See also Journal Article in Review of Financial Studies (2008)

2003

  1. Bond Pricing with Default Risk
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads View citations (2)
    Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (1997) Downloads View citations (10)
  2. Two Trees: Asset Price Dynamics Induced by Market Clearing
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)

2002

  1. Relative Pricing of Options with Stochastic Volatility
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads View citations (17)

2001

  1. Flexible multivariate GARCH modeling with an application to international stock markets
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (1)
    Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (1999) Downloads View citations (3)

    See also Journal Article in The Review of Economics and Statistics (2003)
  2. International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth!
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads View citations (6)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) Downloads View citations (11)
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2001) Downloads View citations (6)
  3. Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    See also Journal Article in Journal of Financial Economics (2002)

2000

  1. Political Cycles and the Stock Market
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads
  2. The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads View citations (6)

1998

  1. The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Review of Financial Studies (2001)

1997

  1. Simulated Likeliehood Estimation of Diffusions With an Application to the Short Tem Interest Rate
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads View citations (1)

Journal Articles

2015

  1. Beyond the Carry Trade: Optimal Currency Portfolios
    Journal of Financial and Quantitative Analysis, 2015, 50, (05), 1037-1056 Downloads View citations (28)
  2. Dividend Yields, Dividend Growth, and Return Predictability in the Cross Section of Stocks
    Journal of Financial and Quantitative Analysis, 2015, 50, (1-2), 33-60 Downloads View citations (12)
  3. Momentum has its moments
    Journal of Financial Economics, 2015, 116, (1), 111-120 Downloads View citations (71)

2012

  1. Multifactor models and their consistency with the ICAPM
    Journal of Financial Economics, 2012, 106, (3), 586-613 Downloads View citations (32)

2011

  1. Forecasting stock market returns: The sum of the parts is more than the whole
    Journal of Financial Economics, 2011, 100, (3), 514-537 Downloads View citations (79)
    See also Working Paper (2008)

2010

  1. Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options
    The Review of Economics and Statistics, 2010, 92, (2), 435-451 Downloads View citations (49)

2009

  1. Option strategies: Good deals and margin calls
    Journal of Financial Markets, 2009, 12, (3), 391-417 Downloads View citations (26)
    See also Working Paper (2004)
  2. Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns
    Review of Financial Studies, 2009, 22, (9), 3411-3447 Downloads View citations (53)
    See also Working Paper (2005)

2008

  1. Two Trees
    Review of Financial Studies, 2008, 21, (1), 347-385 Downloads View citations (19)
    See also Working Paper (2004)

2006

  1. Dynamic Portfolio Selection by Augmenting the Asset Space
    Journal of Finance, 2006, 61, (5), 2187-2217 Downloads View citations (48)
    See also Working Paper (2004)
  2. International risk sharing is better than you think, or exchange rates are too smooth
    Journal of Monetary Economics, 2006, 53, (4), 671-698 Downloads View citations (98)
  3. Predicting volatility: getting the most out of return data sampled at different frequencies
    Journal of Econometrics, 2006, 131, (1-2), 59-95 Downloads View citations (250)
    See also Working Paper (2004)

2005

  1. A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability
    Review of Financial Studies, 2005, 18, (3), 831-873 Downloads View citations (106)
    See also Working Paper (2004)
  2. There is a risk-return trade-off after all
    Journal of Financial Economics, 2005, 76, (3), 509-548 Downloads View citations (298)
    See also Working Paper (2004)

2003

  1. Flexible Multivariate GARCH Modeling with an Application to International Stock Markets
    The Review of Economics and Statistics, 2003, 85, (3), 735-747 Downloads View citations (94)
    See also Working Paper (2001)

2002

  1. Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment
    Journal of Business & Economic Statistics, 2002, 20, (3), 321-24
  2. Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets
    Journal of Financial Economics, 2002, 63, (2), 161-210 Downloads View citations (61)
    See also Working Paper (2001)

2001

  1. The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks
    Review of Financial Studies, 2001, 14, (1), 149-85 View citations (35)
    See also Working Paper (1998)
  2. Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market
    Journal of Financial Economics, 2001, 62, (1), 39-66 Downloads View citations (15)

1999

  1. The Dynamics of the Forward Interest Rate Curve: A Formulation with State Variables
    Journal of Financial and Quantitative Analysis, 1999, 34, (01), 131-157 Downloads View citations (33)
 
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