Pedro Santa Clara
Pedro Santa Clara
Millennium bcp Professor of Finance, Nova School of Business and Economics
Email verificata su novasbe.pt - Home page
Titolo
Citata da
Citata da
Anno
Idiosyncratic risk matters!
A Goyal, P Santa‐Clara
The journal of finance 58 (3), 975-1007, 2003
13922003
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
10662005
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
7922006
The presidential puzzle: Political cycles and the stock market
P Santa‐Clara, R Valkanov
The Journal of Finance 58 (5), 1841-1872, 2003
5772003
Momentum has its moments
P Barroso, P Santa-Clara
Journal of Financial Economics 116 (1), 111-120, 2015
5472015
The MIDAS touch: Mixed data sampling regression models
E Ghysels, P Santa-Clara, R Valkanov
5452004
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
4172009
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
4132011
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
406*2002
A structural model of default risk
JC Hsu, J Sa-Requejo, P Santa-Clara
The Journal of Fixed Income 19 (3), 77-94, 2009
398*2009
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
3912005
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
3492006
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
3342010
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
3242003
Two trees
JH Cochrane, FA Longstaff, P Santa-Clara
The Review of Financial Studies 21 (1), 347-385, 2008
262*2008
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
2382001
Dynamic portfolio selection by augmenting the asset space
MW Brandt, P Santa‐Clara
The journal of Finance 61 (5), 2187-2217, 2006
2222006
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
2082001
Multifactor models and their consistency with the ICAPM
P Maio, P Santa-Clara
Journal of Financial Economics 106 (3), 586-613, 2012
2062012
Option strategies: Good deals and margin calls
P Santa-Clara, A Saretto
Journal of Financial Markets 12 (3), 391-417, 2009
1862009
Il sistema al momento non pu eseguire l'operazione. Riprova pi tardi.
Articoli 1–20