Pedro Santa-Clara : Citation Profile

Are you Pedro Santa-Clara?

Universidade Nova de Lisboa

19

H index

25

i10 index

1824

Citations

RESEARCH PRODUCTION:

22

Articles

34

Papers

RESEARCH ACTIVITY:

   18 years (1997 - 2015). See details.
   Cites by year: 101
   Journals where Pedro Santa-Clara has often published
   Relations with other researchers
   Recent citing documents: 252.    Total self citations: 22 (1.19 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psa1486
   Updated: 2018-10-13    RAS profile: 2016-04-18    
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Relations with other researchers

Works with:

Barroso, Pedro (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Pedro Santa-Clara.

Is cited by:

Marcellino, Massimiliano (38)

Guo, Hui (23)

Diebold, Francis (23)

Foroni, Claudia (19)

Bollerslev, Tim (19)

Schumacher, Christian (18)

Andersen, Torben (16)

Christoffersen, Peter (15)

Sarno, Lucio (14)

Clements, Michael (14)

GUPTA, RANGAN (12)

Cites to:

Campbell, John (53)

French, Kenneth (20)

Bollerslev, Tim (17)

Stambaugh, Robert (17)

Ait-Sahalia, Yacine (15)

merton, robert (15)

Diebold, Francis (14)

Andersen, Torben (14)

Fama, Eugene (13)

Hodrick, Robert (12)

Jagannathan, Ravi (11)

Main data

Where Pedro Santa-Clara has published?

Journals with more than one article published# docs
Journal of Financial Economics6
Review of Financial Studies4
Journal of Financial and Quantitative Analysis3
Journal of Finance3
The Review of Economics and Statistics2

Working Papers Series with more than one paper published# docs
University of California at Los Angeles, Anderson Graduate School of Management / Anderson Graduate School of Management, UCLA14
EcoMod2011 / EcoMod2

Recent works citing Pedro Santa-Clara (2018 and 2017)

YearTitle of citing document
2017Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing. (2017). Christiansen, Charlotte ; Asgharian, Hossein ; Wang, Weining ; Jun, AI. In: CREATES Research Papers. RePEc:aah:create:2017-34.

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2018Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation. (2018). Christiansen, Charlotte ; Jun, AI ; Asgharian, Hossein. In: CREATES Research Papers. RePEc:aah:create:2018-12.

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2017Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence. (2017). Steinsson, Jon ; Sergeyev, Dmitriy ; Nakamura, Emi. In: American Economic Journal: Macroeconomics. RePEc:aea:aejmac:v:9:y:2017:i:1:p:1-39.

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2017Managing Energy Price Risk using Futures Contracts: A Comparative Analysis. (2017). Hanly, Jim. In: The Energy Journal. RePEc:aen:journl:ej38-3-hanly.

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2017MIDAS models in banking sector – systemic risk comparison. (2017). Mestel, Roland ; Gurgul, Henryk ; Syrek, Robert. In: Managerial Economics. RePEc:agh:journl:v:18:y:2017:i:2:p:165-181.

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2018Profitability and Competition in EU Food Retailing. (2018). Finger, Robert ; Hirsch, Stefan ; Lanter, David. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274202.

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2017Weather Derivatives and Water Management in Developing Countries: An Application for an Irrigation District in Central Mexico. (2017). Juarez-Torres, Miriam ; Vedenov, Dmitry ; Sanchez-Aragon, Leonardo. In: Journal of Agricultural and Resource Economics. RePEc:ags:jlaare:257995.

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2017International Asset Allocations and Capital Flows: The Benchmark Effect. (2017). Williams, Tomas ; Schmukler, Sergio ; Raddatz, Claudio. In: Mo.Fi.R. Working Papers. RePEc:anc:wmofir:141.

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2017Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1602.08070.

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2018A String Model of Liquidity in Financial Markets. (2018). Schellhorn, Henry ; Zhao, Ran . In: Papers. RePEc:arx:papers:1608.05900.

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2017Dynamic Portfolio Optimization with Liquidity Cost and Market Impact: A Simulation-and-Regression Approach. (2017). Zhang, Rongju ; Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langren, Nicolas . In: Papers. RePEc:arx:papers:1610.07694.

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2017Media Network and Return Predictability. (2017). Tao, Yubo ; Guo, LI. In: Papers. RePEc:arx:papers:1703.02715.

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2017Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging. (2017). Herrmann, Sebastian ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:1704.04524.

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2017Adaptive Robust Control Under Model Uncertainty. (2017). Bielecki, Tomasz R ; Jeanblanc, Monique ; Cousin, Areski ; Cialenco, Igor ; Chen, Tao. In: Papers. RePEc:arx:papers:1706.02227.

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2018An improved Least Squares Monte Carlo method for portfolio optimization with high dimensional control. (2018). Zhang, Rongju ; Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langren, Nicolas . In: Papers. RePEc:arx:papers:1803.11467.

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2018Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity. (2018). Yang, Ben-Zhang ; Huang, Nan-Jing ; Wang, Ming-Hui ; Yue, Jia. In: Papers. RePEc:arx:papers:1805.06226.

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2018Mean-Variance Efficiency of Optimal Power and Logarithmic Utility Portfolios. (2018). Parolya, Nestor ; Bodnar, Taras ; Schmid, Wofgang ; Ivasiuk, Dmytro. In: Papers. RePEc:arx:papers:1806.08005.

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2018DeepLOB: Deep Convolutional Neural Networks for Limit Order Books. (2018). Zhang, Zihao ; Roberts, Stephen ; Zohren, Stefan. In: Papers. RePEc:arx:papers:1808.03668.

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2018UK Political Cycle and the Effect on National House Prices: An Exploratory Study. (2018). Aha, Bismark ; Lee, Timothy ; Higgins, David M. In: ERES. RePEc:arz:wpaper:eres2018_60.

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2017Compare Value at Risk and Return of Assets Portfolio Stock, Gold, REIT, U.S. & Iran Market Indices. (2017). Darabi, Roya ; Ghorashi, Felor . In: Asian Journal of Economic Modelling. RePEc:asi:ajemod:2017:p:44-48.

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2017A Three-Frequency Dynamic Factor Model for Nowcasting Canadian Provincial GDP Growth. (2017). Chernis, Tony ; Velasco, Gabriella ; Cheung, Calista . In: Discussion Papers. RePEc:bca:bocadp:17-8.

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2017A Dynamic Factor Model for Nowcasting Canadian GDP Growth. (2017). Chernis, Tony ; Sekkel, Rodrigo. In: Staff Working Papers. RePEc:bca:bocawp:17-2.

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2017Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions. (2017). Diez de los Rios, Antonio. In: Staff Working Papers. RePEc:bca:bocawp:17-33.

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2017Using the payment system data to forecast the Italian GDP. (2017). Monteforte, Libero ; Ardizzi, Guerino ; Aprigliano, Valentina . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1098_17.

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2017DO DIVIDEND SHOCKS AFFECT EXCESS RETURNS: AN EXPERIMENTAL STUDY. (2017). Draganac, Dragana. In: Economic Annals. RePEc:beo:journl:v:62:y:2017:i:214:p:45-86.

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2017Corporate Hedging and the High Idiosyncratic Volatility Low Return Puzzle. (2017). Chng, Michael T ; Zhang, Hongfeng ; Xiang, Vincent ; Fang, Victor. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:3:p:395-425.

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2017MONETARY POLICY SURPRISES, INVESTMENT OPPORTUNITIES, AND ASSET PRICES. (2017). Detzel, Andrew . In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:3:p:315-348.

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2017Should we sample a time series more frequently?: decision support via multirate spectrum estimation. (2017). Nason, Guy P ; Smith, Paul A ; Elliott, Duncan ; Powell, Ben. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:180:y:2017:i:2:p:353-407.

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2017MANAGING FINANCIALLY DISTRESSED PENSION PLANS IN THE INTEREST OF BENEFICIARIES. (2017). Inkmann, Joachim ; Shi, Zhen ; Blake, David. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:2:p:539-565.

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2017Economies of Scope, Resource Relatedness, and the Dynamics of Corporate Diversification. (2017). Sakhartov, Arkadiy V. In: Strategic Management Journal. RePEc:bla:stratm:v:38:y:2017:i:11:p:2168-2188.

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2017RELATIONSHIP AMONG POLITICAL INSTABILITY, STOCK MARKET RETURNS AND STOCK MARKET VOLATILITY. (2017). Hira, Irshad . In: Studies in Business and Economics. RePEc:blg:journl:v:12:y:2017:i:2:p:70-99.

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2017Forecasting the equity risk premium with frequency-decomposed predictors. (2017). Verona, Fabio ; Faria, Gonçalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_001.

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2018The equity risk premium and the low frequency of the term spread. (2018). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_007.

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2017High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1099.

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2018A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns. (2018). Haas, Markus ; Ji-Chun, Liu ; Markus, Haas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:3:p:27:n:3.

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2018High-frequency Cash Flow Dynamics. (2018). Pettenuzzo, Davide ; Timmermann, Allan ; Sabbatucci, Riccardo. In: Working Papers. RePEc:brd:wpaper:120.

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2017Dissecting Characteristics Nonparametrically. (2017). Weber, Michael ; Freyberger, Joachim ; Neuhierl, Andreas. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6391.

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2017Government Ideology and Economic Policy-Making in the United States. (2017). Potrafke, Niklas. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6444.

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2017Why Does Idiosyncratic Risk Increase with Market Risk?. (2017). Bartram, Söhnke ; Stulz, Rene M ; Brown, Gregory . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6560.

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2018Dissecting Characteristics Nonparametrically. (2018). Weber, Michael ; Neuhierl, Andreas ; Freyberger, Joachim. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7187.

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2017Political Cycles and Stock Returns. (2017). Pastor, Lubos ; Veronesi, Pietro. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11864.

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2017The Quanto Theory of Exchange Rates. (2017). Martin, Ian ; Kremens, Lukas . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11970.

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2017Firm Risk and Disclosures about Dispersion in Asset Values:. (2017). Badia, Marc ; Ormazabal, Gaizka ; Duro, Miguel ; Barth, Mary E. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12144.

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2017Interest Rate Future Quality Options and Negative Interest Rates. (2017). Herrero, Ricardo Laborda ; de la Corte, Alejandro Balbas . In: INDEM - Working Paper Business Economic Series. RePEc:cte:idrepe:24859.

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2017The 52-Week High and Momentum Investing: Implications for Asset Pricing Models. (2017). Lobao, Julio ; Fernandes, Joao Meira. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2017:v:18:i:1:lobao.

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2017The 52-Week High and Momentum Investing: Implications for Asset Pricing Models. (2017). Lobao, Julio ; Fernandes, Joao Meira. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2017:v:18:i:2:lobao.

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2017Forecasting the return volatility of energy prices: A GARCH MIDAS approach. (2017). Salisu, Afees ; Swaray, Raymond. In: Working Papers. RePEc:cui:wpaper:0029.

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2017Forecasting GDP with energy series: ADL-MIDAS vs. Linear Time Series Models. (2017). Salisu, Afees ; Ogbonna, Ahamuefula. In: Working Papers. RePEc:cui:wpaper:0035.

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2017The Use of Financial Market Variables in Forecasting. (2017). Gebauer, Stefan. In: DIW Roundup: Politik im Fokus. RePEc:diw:diwrup:115en.

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2017Using debit card payments data for nowcasting Dutch household consumption. (2017). Cruijsen, Carin ; Bolt, Wilko ; van der Cruijsen, Carin ; Verbaan, Roy. In: DNB Working Papers. RePEc:dnb:dnbwpp:571.

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2017Risk Disclosure and Company Unsystematic, Systematic, and Total Risks. (2017). Zreik, Ousayna ; Louhichi, Wael. In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00531.

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2017Forecasting in a Mixed Up World: Nowcasting Hawaii Tourism. (2017). Fuleky, Peter ; Bonham, Carl ; Jones, James ; Hirashima, Ashley . In: Annals of Tourism Research. RePEc:eee:anture:v:63:y:2017:i:c:p:191-202.

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2018Usefulness of economic and energy data at different frequencies for carbon price forecasting in the EU ETS. (2018). Zhao, Xin ; Kang, Wanglin ; Ding, Lili ; Han, Meng. In: Applied Energy. RePEc:eee:appene:v:216:y:2018:i:c:p:132-141.

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2018Fundamentals and the volatility of real estate prices in China: A sequential modelling strategy. (2018). Joyeux, Roselyne ; Deng, Yongheng ; Girardin, Eric. In: China Economic Review. RePEc:eee:chieco:v:48:y:2018:i:c:p:205-222.

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2017Product market competition, idiosyncratic and systematic volatility. (2017). Abdoh, Hussein ; Varela, Oscar . In: Journal of Corporate Finance. RePEc:eee:corfin:v:43:y:2017:i:c:p:500-513.

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2017Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data. (2017). Lee, Kyungsub ; Ki, Byoung . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:79:y:2017:i:c:p:154-183.

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2018Level and slope of volatility smiles in long-run risk models. (2018). Branger, Nicole ; Schlag, Christian ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:95-122.

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2018Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns. (2018). Kaeck, Andreas ; Seeger, Norman J ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:1-29.

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2017Asset pricing and institutional investors with disagreements. (2017). Ma, Chaoqun ; Hu, Duni ; Cheng, Fengchao ; Wang, Hailong. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:231-248.

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2017Macroeconomic and financial effects of oil price shocks: Evidence for the euro area. (2017). MORANA, CLAUDIO. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:82-96.

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2017Disagreement and the risk-return relation. (2017). Jia, Yun ; Yang, Chunpeng. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:97-104.

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2017Forecasting Chinas GDP growth using dynamic factors and mixed-frequency data. (2017). Jiang, YU ; Zhang, Yihao ; Guo, Yongji . In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:132-138.

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2018A mixed data sampling copula model for the return-liquidity dependence in stock index futures markets. (2018). Gong, Yuting ; Liang, Jufang ; Chen, Qiang. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:586-598.

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2018Forecasting gold futures market volatility using macroeconomic variables in the United States. (2018). Fang, Libing ; Xiao, Wen ; Yu, Honghai. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:249-259.

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2017An intertemporal CAPM with higher-order moments. (2017). Jang, Jeewon ; Kang, Jangkoo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:314-337.

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2017Forecasting broad money velocity. (2017). Jung, Alexander. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:421-432.

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2018Sluggish private investment in Japan’s Lost Decade: Mixed frequency vector autoregression approach. (2018). Motegi, Kaiji ; Sadahiro, Akira. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:118-128.

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2018Optimal combination of currency strategies. (2018). Laborda, Ricardo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:129-140.

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2018Does partisan conflict predict a reduction in US stock market (realized) volatility? Evidence from a quantile-on-quantile regression model☆. (2018). Wohar, Mark ; Selmi, Refk ; Pierdzioch, Christian ; GUPTA, RANGAN. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:87-96.

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2018Momentum and crash sensitivity. (2018). Ruenzi, Stefan ; Weigert, Florian. In: Economics Letters. RePEc:eee:ecolet:v:165:y:2018:i:c:p:77-81.

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2018Presidential cycles and time-varying bond–stock market correlations: Evidence from more than two centuries of data. (2018). GUPTA, RANGAN ; Demirer, Riza. In: Economics Letters. RePEc:eee:ecolet:v:167:y:2018:i:c:p:36-39.

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2018The mean–variance relation and the role of institutional investor sentiment. (2018). Wang, Wenzhao. In: Economics Letters. RePEc:eee:ecolet:v:168:y:2018:i:c:p:61-64.

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2018Simple robust tests for the specification of high-frequency predictors of a low-frequency series. (2018). Miller, J.. In: Econometrics and Statistics. RePEc:eee:ecosta:v:5:y:2018:i:c:p:45-66.

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2017Comonotonic approximation to periodic investment problems under stochastic drift. (2017). Xu, Liang ; Liu, Qinjun ; Kou, Gang ; Gao, Chunyan . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:1:p:251-261.

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2017Asset allocation with correlation: A composite trade-off. (2017). Conlon, Thomas ; cotter, john ; Salvador, Enrique ; Carroll, Rachael . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:3:p:1164-1180.

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2018Comparison of the multicriteria decision-making methods for equity portfolio selection: The U.S. evidence. (2018). Patari, Eero ; Yeomans, Julian S ; Luukka, Pasi ; Karell, Ville . In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:2:p:655-672.

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2017Is the profitability of Indian stocks compensation for risks?. (2017). Narayan, Paresh Kumar ; Bannigidadmath, Deepa ; Bach, Dinh Hoang . In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:47-64.

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2017Dynamic cross-autocorrelation in stock returns. (2017). Kinnunen, Jyri. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:162-173.

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2017Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model. (2017). Yin, Libo ; Pan, Zhiyuan ; Wu, Chongfeng ; Wang, Yudong. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:130-142.

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2017Predicting international stock returns with conditional price-to-fundamental ratios. (2017). Lawrenz, Jochen ; Zorn, Josef. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:159-184.

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2017Business-cycle variation in macroeconomic uncertainty and the cross-section of expected returns: Evidence for scale-dependent risks. (2017). Xyngis, Georgios. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:43-65.

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2018Equity premium predictions with many predictors: A risk-based explanation of the size and value factors. (2018). Stivers, Adam . In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:126-140.

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2018Momentum of return predictability. (2018). Wang, Yudong ; Diao, Xundi ; Ma, Feng ; Liu, LI. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:141-156.

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2018Forecasting stock market returns by summing the frequency-decomposed parts. (2018). Verona, Fabio ; Faria, Gonalo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:228-242.

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2018Macroeconomic determinants of stock market betas. (2018). Gonzalez, Mariano ; Rubio, Gonzalo ; Nave, Juan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:26-44.

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2018Residual momentum in Japan. (2018). Chang, Rosita P ; Rhee, Ghon S ; Nakano, Shinji ; Ko, Kuan-Cheng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:283-299.

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2018Investment and profitability versus value and momentum: The price of residual risk. (2018). Li, Yuming. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:1-10.

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2018Investor types and stock return volatility. (2018). Che, Limei . In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:139-161.

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2018The decomposition of jump risks in individual stock returns. (2018). Xiao, Xiao ; Zhou, Chen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:207-228.

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2017How do daily changes in oil prices affect US monthly industrial output?. (2017). Valadkhani, Abbas ; Smyth, Russell. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:83-90.

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2017Which determinant is the most informative in forecasting crude oil market volatility: Fundamental, speculation, or uncertainty?. (2017). Wei, YU ; Hu, Yang ; Lai, Xiaodong ; Liu, Jing. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:141-150.

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2018Asymmetric responses in the timing, and magnitude, of changes in Australian monthly petrol prices to daily oil price changes. (2018). Valadkhani, Abbas ; Smyth, Russell. In: Energy Economics. RePEc:eee:eneeco:v:69:y:2018:i:c:p:89-100.

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2018Forecasting U.S. real GDP using oil prices: A time-varying parameter MIDAS model. (2018). Pan, Zhiyuan ; Yang, LI ; Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:177-187.

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2018Forecasting Chinas total energy demand and its structure using ADL-MIDAS model. (2018). Lin, Boqiang ; He, Yongda. In: Energy. RePEc:eee:energy:v:151:y:2018:i:c:p:420-429.

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2017Firm life cycle and idiosyncratic volatility. (2017). Hasan, Mostafa Monzur ; Habib, Ahsan. In: International Review of Financial Analysis. RePEc:eee:finana:v:50:y:2017:i:c:p:164-175.

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2017Predictability and diversification benefits of investing in commodity and currency futures. (2017). Potì, Valerio ; cotter, john ; Poti, Valerio ; Eyiah-Donkor, Emmanuel . In: International Review of Financial Analysis. RePEc:eee:finana:v:50:y:2017:i:c:p:52-66.

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2018Idiosyncratic volatility and cash flow volatility: New evidence from S&P 500. (2018). Pae, Yuntaek ; Lee, Namhoon ; Bae, Sung C. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:127-135.

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2018Paper profits or real money? Trading costs and stock market anomalies in country ETFs. (2018). Zaremba, Adam ; Andreu, Laura. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:181-192.

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2018Stock return expectations in the credit market. (2018). Byström, Hans ; Bystrom, Hans. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:85-92.

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2018Sentiment-based momentum strategy. (2018). Suh, Sangwon ; Kim, Byungoh. In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:52-68.

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2017Arising borders and the value of logistic companies: Evidence from the Brexit referendum in Great Britain. (2017). Schiereck, Dirk. In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:22-28.

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More than 100 citations found, this list is not complete...

Works by Pedro Santa-Clara:

YearTitleTypeCited
1998The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks In: Papers.
[Full Text][Citation analysis]		paper32
2001The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks..(2001) In: Review of Financial Studies.
[Citation analysis]
This paper has another version. Agregated cites: 32		article
2002Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]		article0
2003Idiosyncratic Risk Matters! In: Journal of Finance.
[Full Text][Citation analysis]		article220
2003The Presidential Puzzle: Political Cycles and the Stock Market In: Journal of Finance.
[Full Text][Citation analysis]		article131
2006Dynamic Portfolio Selection by Augmentingthe Asset Space In: Journal of Finance.
[Full Text][Citation analysis]		article47
2004Dynamic Portfolio Selection by Augmenting the Asset Space.(2004) In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 47		paper
2004Dynamic Portfolio Selection by Augmenting the Asset Space.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 47		paper
2000Political Cycles and the Stock Market In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper0
2004Option Strategies: Good Deals and Margin Calls In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper25
2009Option strategies: Good deals and margin calls.(2009) In: Journal of Financial Markets.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25		article
2001International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth! In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper12
2001International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth).(2001) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12		paper
2001International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth).(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12		paper
1997Bond Pricing with Default Risk In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper12
2003Bond Pricing with Default Risk.(2003) In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]
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2005Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper48
2004Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 48		paper
2009Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns.(2009) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 48		article
2004Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper7
2004Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
2000The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper6
2004Two Trees In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper19
2008Two Trees.(2008) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19		article
2002Relative Pricing of Options with Stochastic Volatility In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper17
1997Simulated Likeliehood Estimation of Diffusions With an Application to the Short Tem Interest Rate In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper1
1999Flexible Multivariate GARCH Modeling With an Application to International Stock Markets In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper92
2003Flexible Multivariate GARCH Modeling with an Application to International Stock Markets.(2003) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 92		article
2001Flexible multivariate GARCH modeling with an application to international stock markets.(2001) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 92		paper
2004The MIDAS Touch: Mixed Data Sampling Regression Models In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper154
2004The MIDAS Touch: Mixed Data Sampling Regression Models.(2004) In: CIRANO Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 154		paper
2003There is a Risk-Return Tradeoff After All In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper268
2004There is a Risk-Return Tradeoff After All.(2004) In: CIRANO Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 268		paper
2005There is a risk-return trade-off after all.(2005) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 268		article
2004There is a Risk-Return Tradeoff After All.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 268		paper
2004Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper233
2006Predicting volatility: getting the most out of return data sampled at different frequencies.(2006) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 233		article
2004Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 233		paper
2003Two Trees: Asset Price Dynamics Induced by Market Clearing In: Levine's Bibliography.
[Full Text][Citation analysis]		paper4
2003Two Trees: Asset Price Dynamics Induced by Market Clearing.(2003) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
1999The Dynamics of the Forward Interest Rate Curve: A Formulation with State Variables In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article31
2015Beyond the Carry Trade: Optimal Currency Portfolios In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article19
2015Dividend Yields, Dividend Growth, and Return Predictability in the Cross Section of Stocks In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article12
2011Forecasting stock market returns: The sum of the parts is more than the whole In: Journal of Financial Economics.
[Full Text][Citation analysis]		article70
2008Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole.(2008) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 70		paper
2012Multifactor models and their consistency with the ICAPM In: Journal of Financial Economics.
[Full Text][Citation analysis]		article22
2015Momentum has its moments In: Journal of Financial Economics.
[Full Text][Citation analysis]		article47
2001Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market In: Journal of Financial Economics.
[Full Text][Citation analysis]		article14
2002Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets In: Journal of Financial Economics.
[Full Text][Citation analysis]		article59
2001Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets.(2001) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
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2006International risk sharing is better than you think, or exchange rates are too smooth In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article91
2011Does Institutional Ownership Matter for International Stock Return Comovement? In: EcoMod2011.
[Full Text][Citation analysis]		paper3
2011Optimal Option Portfolio Strategies In: EcoMod2011.
[Full Text][Citation analysis]		paper0
2004A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability In: NBER Working Papers.
[Full Text][Citation analysis]		paper91
2005A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability.(2005) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 91		article
2010Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article37

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 2th 2018. Contact: CitEc Team