Pedro Santa-Clara : Citation Profile

Are you Pedro Santa-Clara?

Universidade Nova de Lisboa

19

H index

25

i10 index

2372

Citations

RESEARCH PRODUCTION:

20

Articles

33

Papers

RESEARCH ACTIVITY:

   18 years (1997 - 2015). See details.
   Cites by year: 131
   Journals where Pedro Santa-Clara has often published
   Relations with other researchers
   Recent citing documents: 454.    Total self citations: 22 (0.92 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psa1486
   Updated: 2022-05-14    RAS profile: 2016-04-18    
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Relations with other researchers

Works with:

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 (46)

Foroni, Claudia (30)

Diebold, Francis (23)

Bollerslev, Tim (23)

GUPTA, RANGAN (22)

Schumacher, Christian (18)

Galvão, Ana (17)

Andersen, Torben (16)

Sarno, Lucio (16)

Clements, Michael (14)

Christoffersen, Peter (14)

Cites to:

Campbell, John (50)

French, Kenneth (18)

Bollerslev, Tim (17)

Stambaugh, Robert (17)

merton, robert (15)

Andersen, Torben (15)

Diebold, Francis (14)

Ait-Sahalia, Yacine (14)

Hodrick, Robert (12)

Fama, Eugene (12)

LIU, JUN (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
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 (2021 and 2020)

YearTitle of citing document
2021Now- and Backcasting Initial Claims with High-Dimensional Daily Internet Search-Volume Data. (2021). Montes, Erik Christian ; Rapach, David E ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2021-02.

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2020Robust portfolio selection using sparse estimation of comoment tensors. (2020). Vrins, Frédéric ; Lassance, Nathan. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2020003.

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2021Machine Learning Time Series Regressions With an Application to Nowcasting. (2021). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2021004.

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2021Is completeness necessary? Estimation in nonidentified linear models. (2020). Babii, Andrii ; FLORENS, Jean-Pierre. In: Papers. RePEc:arx:papers:1709.03473.

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2020DeepLOB: Deep Convolutional Neural Networks for Limit Order Books. (2019). Roberts, Stephen ; Zohren, Stefan ; Zhang, Zihao. In: Papers. RePEc:arx:papers:1808.03668.

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2020Bayesian MIDAS Penalized Regressions: Estimation, Selection, and Prediction. (2019). Mogliani, Matteo. In: Papers. RePEc:arx:papers:1903.08025.

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2020Enhancing Time Series Momentum Strategies Using Deep Neural Networks. (2019). Roberts, Stephen ; Zohren, Stefan ; Lim, Bryan. In: Papers. RePEc:arx:papers:1904.04912.

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2020`Regression Anytime with Brute-Force SVD Truncation. (2019). Schweizer, Nikolaus ; Bender, Christian. In: Papers. RePEc:arx:papers:1908.08264.

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2021Stochastic leverage effect in high-frequency data: a Fourier based analysis. (2019). Sanfelici, Simona ; Curato, Imma Valentina. In: Papers. RePEc:arx:papers:1910.06660.

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2021An approximate solution for the power utility optimization under predictable returns. (2019). Ivasiuk, Dmytro. In: Papers. RePEc:arx:papers:1911.06552.

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2020A Machine Learning Approach to Adaptive Robust Utility Maximization and Hedging. (2019). Ludkovski, Michael ; Chen, Tao. In: Papers. RePEc:arx:papers:1912.00244.

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2021Estimation and HAC-based Inference for Machine Learning Time Series Regressions. (2019). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: Papers. RePEc:arx:papers:1912.06307.

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2021Machine Learning Portfolio Allocation. (2020). Ruppert, David ; Pinelis, Michael. In: Papers. RePEc:arx:papers:2003.00656.

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2020A weighted finite difference method for American and Barrier options in subdiffusive Black-Scholes Model. (2020). Magdziarz, Marcin ; Zanowski, Grzegorz Krzy. In: Papers. RePEc:arx:papers:2003.05358.

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2020High-dimensional mixed-frequency IV regression. (2020). Babii, Andrii. In: Papers. RePEc:arx:papers:2003.13478.

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2020A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400.

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2020Doubly Multiplicative Error Models with Long- and Short-run Components. (2020). Amendola, Alessandra ; Gallo, Giampiero M ; Cipollini, Fabrizio ; Candila, Vincenzo. In: Papers. RePEc:arx:papers:2006.03458.

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2020Using Company Specific Headlines and Convolutional Neural Networks to Predict Stock Fluctuations. (2020). Giani, Stefano ; Readshaw, Jonathan. In: Papers. RePEc:arx:papers:2006.12426.

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2020The role of global economic policy uncertainty in predicting crude oil futures volatility: Evidence from a two-factor GARCH-MIDAS model. (2020). Zhou, Wei-Xing ; Xiong, Xiong ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:2007.12838.

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2020Are low frequency macroeconomic variables important for high frequency electricity prices?. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Papers. RePEc:arx:papers:2007.13566.

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2021Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.01714.

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2021Machine Learning Panel Data Regressions with an Application to Nowcasting Price Earnings Ratios. (2020). Striaukas, Jonas ; Ghysels, Eric ; Ball, Ryan T ; Babii, Andrii. In: Papers. RePEc:arx:papers:2008.03600.

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2020Investing with Cryptocurrencies -- evaluating their potential for portfolio allocation strategies. (2020). Elendner, Hermann ; Hardle, Wolfgang Karl ; Trimborn, Simon ; Petukhina, Alla. In: Papers. RePEc:arx:papers:2009.04461.

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2021Dirichlet policies for reinforced factor portfolios. (2020). Coqueret, Guillaume ; Andr, Eric. In: Papers. RePEc:arx:papers:2011.05381.

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2021Dynamic industry uncertainty networks and the business cycle. (2021). Baruník, Jozef ; Faff, Robert ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:2101.06957.

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2022Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions. (2021). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2102.11780.

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2021Robustifying Conditional Portfolio Decisions via Optimal Transport. (2021). Ye, Yinyu ; Delage, Erick ; Blanchet, Jose ; Zhang, Fan ; Nguyen, Viet Anh. In: Papers. RePEc:arx:papers:2103.16451.

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2021An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975.

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2021Time Varying Risk in U.S. Housing Sector and Real Estate Investment Trusts Equity Return. (2021). Alam, Masud. In: Papers. RePEc:arx:papers:2107.10455.

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2021Sparse Temporal Disaggregation. (2021). Gibberd, Alex ; Eckley, Idris ; Mosley, Luke . In: Papers. RePEc:arx:papers:2108.05783.

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2021Closed-form portfolio optimization under GARCH models. (2021). Zagst, Rudi ; Gollart, Maximilian ; Escobar-Anel, Marcos. In: Papers. RePEc:arx:papers:2109.00433.

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2021Macroeconomic forecasting with LSTM and mixed frequency time series data. (2021). Kamolthip, Sarun. In: Papers. RePEc:arx:papers:2109.13777.

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2021Bank transactions embeddings help to uncover current macroeconomics. (2021). Zaytsev, Alexey ; Begicheva, Maria. In: Papers. RePEc:arx:papers:2110.12000.

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2021Portfolio optimisation with options. (2021). Muguruza, Aitor ; Jacquier, Antoine ; Huckle, Thomas ; Chan, Jonathan Raimana. In: Papers. RePEc:arx:papers:2111.12658.

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2022Optimal market completion through financial derivatives with applications to volatility risk. (2022). Davison, Matt ; Zhu, Yichen ; Escobar-Anel, Marcos. In: Papers. RePEc:arx:papers:2202.08148.

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2022Canonical Portfolios: Optimal Asset and Signal Combination. (2022). Tan, Vincent ; Zohren, Stefan ; Firoozye, Nick. In: Papers. RePEc:arx:papers:2202.10817.

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2022Characteristics-driven returns in equilibrium. (2022). Coqueret, Guillaume. In: Papers. RePEc:arx:papers:2203.07865.

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2021Nowcast of Macroeconomic Aggregates in Argentina: Comparing the Predictive Capacity of Different Models. (2021). Garegnani, Lorena ; Dogliolo, Fiorella ; Damato, Laura ; Blanco, Emilio. In: BCRA Working Paper Series. RePEc:bcr:wpaper:202190.

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2021Exploiting payments to track Italian economic activity: the experience at Banca d’Italia. (2021). Zizza, Roberta ; Gambini, Alessandro ; aprigliano, valentina ; Renzi, Nazzareno ; Emiliozzi, Simone ; Cavallero, Alessandro ; Cassetta, Alessia ; Ardizzi, Guerino. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_609_21.

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2020Estimación de la variación del precio de los alimentos con modelos de frecuencias mixtas. (2020). Cardenas-Cardenas, Julian Alonso ; Gonzalez, Eliana R ; Caicedo-Garcia, Edgar. In: Borradores de Economia. RePEc:bdr:borrec:1109.

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2021Nowcasting Colombian Economic Activity: DFM and Factor-MIDAS approaches. (2021). Rojas-Martinez, Carlos D ; Martinez-Cortes, Nicolas ; Galeano-Ramirez, Franky Juliano. In: Borradores de Economia. RePEc:bdr:borrec:1168.

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2021Do outliers matter? The predictive ability of average skewness on market returns using robust skewness measures. (2021). Yan, WU ; Shi, Jing ; Liao, Yin ; Han, Jianlei ; Bo, Xu Chong. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:3:p:3977-4006.

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2021The effect of treasury auctions on 10?year Treasury note futures. (2021). Smales, Lee. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:s1:p:1517-1555.

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2021Using abnormal analyst coverage to unlock new evidence on stock price crash risk. (2021). faff, robert ; Hoang, Khoa ; Chowdhury, Hasibul. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:s1:p:1557-1588.

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2022A timing momentum strategy. (2022). Ko, Kuancheng ; Chou, Robin K ; Yang, Nientzu ; Lin, Chaonan. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:s1:p:1339-1379.

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2020Environmental policies, national culture, and stock price crash risk: Evidence from renewable energy firms. (2020). Yildiz, Yilmaz ; YilmazYildiz, ; Karan, Mehmet Baha. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:29:y:2020:i:6:p:2374-2391.

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2020Optimal portfolio choices using financial leverage. (2020). Olmo, Jose ; Laborda, Ricardo. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:72:y:2020:i:2:p:146-166.

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2021Minimum information management and price?abundance relationships in a fishery. (2021). Marvasti, Akbar ; Dakhlia, Sami. In: Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie. RePEc:bla:canjag:v:69:y:2021:i:4:p:491-518.

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2020Trade uncertainties and the hedging abilities of Bitcoin. (2020). GUPTA, RANGAN ; Bouri, Elie ; Gkillas, Konstantinos. In: Economic Notes. RePEc:bla:ecnote:v:49:y:2020:i:3:n:e12173.

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2020Moving markets? Government bond investors and microeconomic policy changes. (2020). Wibbels, Erik ; Paniagua, Victoria ; Mosley, Layna. In: Economics and Politics. RePEc:bla:ecopol:v:32:y:2020:i:2:p:197-249.

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2020Jump Risk in the US Financial Sector. (2020). Yao, Wenying ; Gajurel, Dinesh ; Jeyasreedharan, Nagaratnam ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:331-349.

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2020Idiosyncratic momentum and the cross‐section of stock returns: Further evidence. (2020). Lin, QI. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:3:p:579-627.

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2020Do foreign stocks substitute for international diversification?. (2020). Campos, Rodolfo ; Campa, Jose M ; Bermejo, Vicente J ; Zakriya, Mohammed. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:5:p:1191-1223.

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2021Recovering the market risk premium from higher?order moment risks. (2021). Rompolis, Leonidas ; Chalamandaris, George. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:1:p:147-186.

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2020Mispriced index option portfolios. (2020). Perrakis, Stylianos ; Czerwonko, Michal ; Constantinides, George M. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:2:p:297-330.

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2020Predicting hedge fund performance when fund returns are skewed. (2020). Kumar, Alok ; Hutchinson, Mark C ; Heuson, Andrea J. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:4:p:877-896.

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2021Economic policy uncertainty and momentum. (2021). Wu, Yangru ; Sun, Minxing ; Gu, Ming ; Xu, Weike. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:1:p:237-259.

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2021Anomalies enhanced: A portfolio rebalancing approach. (2021). Zhou, Guofu ; Huang, Dayong ; Han, Yufeng. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:2:p:371-424.

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2020Unveiling Contemporaneous Relations Between Jump Risk and Cross Section of Stock Returns. (2020). Prasanna, Krishna ; Kshatriya, Saranya. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:3:p:581-604.

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2020Market Excess Returns, Variance and the Third Cumulant. (2020). Zhao, Huimin ; Chang, Eric C ; Zhang, Jin E. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:3:p:605-637.

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2021Forecasting the future state of the economy in the United States: The role of tradable “new” risk factors. (2021). Li, Bin ; Shi, QI. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:3:p:1039-1046.

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2021Risk reduction using trailing stop?loss rules. (2021). Visaltanachoti, Nuttawat ; Marshall, Ben R ; Dai, Bochuan ; Nguyen, Nhut H. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:4:p:1334-1352.

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2022Can technical indicators predict the Chinese equity risk premium?. (2022). Glabadanidis, Paskalis ; Sun, Mingwei. In: International Review of Finance. RePEc:bla:irvfin:v:22:y:2022:i:1:p:114-142.

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2022Does the kitchen?sink model work forecasting the equity premium?. (2022). Yin, Anwen. In: International Review of Finance. RePEc:bla:irvfin:v:22:y:2022:i:1:p:223-247.

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2020On variable ordination of modified Cholesky decomposition for estimating time?varying covariance matrices. (2020). Tsui, Kamwah ; Deng, Xinwei ; Kang, Xiaoning ; Pourahmadi, Mohsen. In: International Statistical Review. RePEc:bla:istatr:v:88:y:2020:i:3:p:616-641.

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2020Cash Flow News and Stock Price Dynamics. (2020). Pettenuzzo, Davide ; Sabbatucci, Riccardo ; Timmermann, Allan. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:2221-2270.

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2021Limited Risk Sharing and International Equity Returns. (2021). Zhang, Shaojun. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:2:p:893-933.

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2021Model?Free International Stochastic Discount Factors. (2021). Vedolin, Andrea ; Trojani, Fabio ; Sandulescu, Mirela. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:2:p:935-976.

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2021Foreign Safe Asset Demand and the Dollar Exchange Rate. (2021). KRISHNAMURTHY, ARVIND ; Lustig, Hanno ; Jiang, Zhengyang. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:3:p:1049-1089.

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2020JUMPS, NEWS, AND SUBSEQUENT RETURN DYNAMICS: AN INTRADAY STUDY. (2020). Yin, Xiangkang ; Zhao, Jing ; Xiao, Yuewen. In: Journal of Financial Research. RePEc:bla:jfnres:v:43:y:2020:i:3:p:705-731.

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2021When it rains, it pours: Multifactor asset management in good and bad times. (2021). Szafarz, Ariane ; Briere, Marie. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:3:p:641-669.

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2021Mixed?frequency Bayesian predictive synthesis for economic nowcasting. (2021). McAlinn, Kenichiro. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:70:y:2021:i:5:p:1143-1163.

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2020Carry trade and forward premium puzzle from the perspective of a safe?haven currency. (2020). Nitschka, Thomas ; Haab, David R. In: Review of International Economics. RePEc:bla:reviec:v:28:y:2020:i:2:p:376-394.

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2020Real‐Time Fiscal Forecasting Using Mixed‐Frequency Data. (2020). Paredes, Joan ; Asimakopoulos, Stylianos ; Warmedinger, Thomas. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:122:y:2020:i:1:p:369-390.

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2020News media vs. FRED-MD for macroeconomic forecasting. (2020). Thorsrud, Leif ; Larsen, Vegard ; Ellingsen, Jon. In: Working Paper. RePEc:bno:worpap:2020_14.

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2020Nowcasting Norwegian household consumption with debit card transaction data. (2020). Fastb, Tuva Marie ; Aastveit, Knut Are ; Torstensen, Kjersti Nss ; Paulsen, Kenneth Sterhagen ; Granziera, Eleonora. In: Working Paper. RePEc:bno:worpap:2020_17.

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2020News media vs. FRED-MD for macroeconomic forecasting. (2020). Thorsrud, Leif ; Larsen, Vegard ; Ellingsen, Jon. In: Working Papers. RePEc:bny:wpaper:0091.

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2020Time-frequency forecast of the equity premium. (2020). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_006.

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2020A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection. (2020). Li, S ; Connor, G ; Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:20103.

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2020Real-Time Forecasting Using Mixed-Frequency VARS with Time-Varying Parameters. (2020). Reif, Magnus ; Heinrich, Markus. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8054.

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2020News Media vs. FRED-MD for Macroeconomic Forecasting. (2020). Thorsrud, Leif ; Larsen, Vegard ; Ellingsen, Jon. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8639.

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2020Macroeconomics, Nonlinearities, and the Business Cycle. (2020). Reif, Magnus. In: ifo Beiträge zur Wirtschaftsforschung. RePEc:ces:ifobei:87.

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2020Forecasting the Covid-19 Recession and Recovery: Lessons from the Financial Crisis. (2020). Stevanovic, Dalibor ; Marcellino, Massimiliano ; Foroni, Claudia. In: CIRANO Working Papers. RePEc:cir:cirwor:2020s-32.

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2020Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, Stephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: CIRANO Working Papers. RePEc:cir:cirwor:2020s-42.

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2021Integrated nested Laplace approximations for threshold stochastic volatility models. (2021). Rue, Havard ; Lopes, Maria Helena ; de Zea, P ; Marin, Juan Miguel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:31804.

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2020Currency Futures Risk Premia and Risk Factors. (2020). Bernoth, Kerstin ; de Vries, Casper G ; Vonhagen, Jurgen ; von Hagen, Jurgen. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1866.

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2020Forecasting the Covid-19 recession and recovery: lessons from the financial crisis. (2020). Stevanovic, Dalibor ; Marcellino, Massimiliano ; Foroni, Claudia. In: Working Paper Series. RePEc:ecb:ecbwps:20202468.

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2021The ECBs tracker: nowcasting the press conferences of the ECB. (2021). Marozzi, Armando. In: Working Paper Series. RePEc:ecb:ecbwps:20212609.

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2021Nowcasting euro area GDP with news sentiment: a tale of two crises. (2021). Kalamara, Eleni ; Ashwin, Julian ; Saiz, Lorena. In: Working Paper Series. RePEc:ecb:ecbwps:20212616.

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2020Predicting Returns for Growth and Value Stocks: A Forecast Assessment Approach Using Global Asset Pricing Models. (2020). Phillips, Michael G ; Bommer, William H ; Rana, Shailesh. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-04-12.

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2020Oil Rent, Geopolitical Risk and Banking Sector Performance. (2020). van Hemmen, Stefan F ; Alsagr, Naif. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-05-36.

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2022Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models.. (2022). Escobar-Anel, Marcos ; Zhu, Yichen. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:418:y:2022:i:c:s009630032100919x.

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2022Analyzing and forecasting Thai macroeconomic data using mixed-frequency approach. (2022). Wichitaksorn, Nuttanan. In: Journal of Asian Economics. RePEc:eee:asieco:v:78:y:2022:i:c:s1049007821001494.

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2021Bond intraday momentum. (2021). Li, YI ; Wang, Pengfei ; Zhang, Wei. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:31:y:2021:i:c:s2214635021000599.

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2021Momentum in real economy and industry stock returns. (2021). Eichel, Ron. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:32:y:2021:i:c:s2214635021001209.

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2020Limited investor attention, relative fundamental strength, and the cross-section of stock returns. (2020). Chen, Min ; Yung, Kenneth ; Sun, Licheng ; Zhu, Zhaobo. In: The British Accounting Review. RePEc:eee:bracre:v:52:y:2020:i:4:s0890838919300848.

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2020Nonlinear and time-varying risk premia. (2020). Cai, Zongwu ; Mi, Xianhua ; Ma, Chaoqun. In: China Economic Review. RePEc:eee:chieco:v:62:y:2020:i:c:s1043951x2030064x.

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2021Whom to educate? Financial literacy and investor awareness. (2021). Zhao, Xiaojian ; Huang, Yangguang ; Gui, Zhengqing. In: China Economic Review. RePEc:eee:chieco:v:67:y:2021:i:c:s1043951x21000262.

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2021Nonlinear effect of sentiment on momentum. (2021). Li, Kai. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:133:y:2021:i:c:s0165188921001883.

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2021The impact of mixed-frequency geopolitical risk on stock market returns. (2021). Yang, Chunpeng. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:72:y:2021:i:c:p:226-240.

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2021The Daily Economic Indicator: tracking economic activity daily during the lockdown. (2021). Rua, Antonio ; Loureno, Nuno. In: Economic Modelling. RePEc:eee:ecmode:v:100:y:2021:i:c:s0264999321000894.

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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]		paper39
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: 39		article
2002Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]		article0
2006Dynamic Portfolio Selection by Augmenting the Asset Space In: Journal of Finance.
[Full Text][Citation analysis]		article63
2004Dynamic Portfolio Selection by Augmenting the Asset Space.(2004) In: University of California at Los Angeles, Anderson Graduate School of Management.
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2004Dynamic Portfolio Selection by Augmenting the Asset Space.(2004) In: NBER Working Papers.
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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]		paper39
2009Option strategies: Good deals and margin calls.(2009) In: Journal of Financial Markets.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39		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]		paper13
2001International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth).(2001) In: Working Papers.
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2001International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth).(2001) In: NBER Working Papers.
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This paper has another version. Agregated cites: 13		paper
1997Bond Pricing with Default Risk In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper13
2003Bond Pricing with Default Risk.(2003) In: University of California at Los Angeles, Anderson Graduate School of Management.
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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]		paper95
2004Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
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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: 95		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]		paper10
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: 10		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.
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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]		paper19
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]		paper115
2003Flexible Multivariate GARCH Modeling with an Application to International Stock Markets.(2003) In: The Review of Economics and Statistics.
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This paper has another version. Agregated cites: 115		article
2001Flexible multivariate GARCH modeling with an application to international stock markets.(2001) In: Economics Working Papers.
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This paper has another version. Agregated cites: 115		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]		paper263
2004The MIDAS Touch: Mixed Data Sampling Regression Models.(2004) In: CIRANO Working Papers.
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This paper has another version. Agregated cites: 263		paper
2003There is a Risk-Return Tradeoff After All In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper381
2004There is a Risk-Return Tradeoff After All.(2004) In: CIRANO Working Papers.
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2005There is a risk-return trade-off after all.(2005) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 381		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: 381		paper
2004Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper371
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: 371		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: 371		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]		article36
2015Beyond the Carry Trade: Optimal Currency Portfolios In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article63
2015Dividend Yields, Dividend Growth, and Return Predictability in the Cross Section of Stocks In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article18
2011Forecasting stock market returns: The sum of the parts is more than the whole In: Journal of Financial Economics.
[Full Text][Citation analysis]		article142
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: 142		paper
2012Multifactor models and their consistency with the ICAPM In: Journal of Financial Economics.
[Full Text][Citation analysis]		article60
2015Momentum has its moments In: Journal of Financial Economics.
[Full Text][Citation analysis]		article168
2001Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market In: Journal of Financial Economics.
[Full Text][Citation analysis]		article19
2002Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets In: Journal of Financial Economics.
[Full Text][Citation analysis]		article71
2001Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets.(2001) In: NBER Technical Working Papers.
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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]		article116
2011Does Institutional Ownership Matter for International Stock Return Comovement? In: EcoMod2011.
[Full Text][Citation analysis]		paper11
2011Optimal Option Portfolio Strategies In: EcoMod2011.
[Full Text][Citation analysis]		paper0
2003Two Trees: Asset Price Dynamics Induced by Market Clearing In: NBER Working Papers.
[Full Text][Citation analysis]		paper3
2004A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability In: NBER Working Papers.
[Full Text][Citation analysis]		paper134
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]
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2010Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article84

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