Pedro Santa-Clara : Citation Profile

Are you Pedro Santa-Clara?

Universidade Nova de Lisboa

19

H index

25

i10 index

2070

Citations

RESEARCH PRODUCTION:

22

Articles

34

Papers

RESEARCH ACTIVITY:

   18 years (1997 - 2015). See details.
   Cites by year: 115
   Journals where Pedro Santa-Clara has often published
   Relations with other researchers
   Recent citing documents: 430.    Total self citations: 22 (1.05 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psa1486
   Updated: 2019-09-14    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 (42)

Diebold, Francis (23)

Guo, Hui (23)

Foroni, Claudia (22)

Bollerslev, Tim (19)

Schumacher, Christian (18)

GUPTA, RANGAN (17)

Andersen, Torben (16)

Christoffersen, Peter (15)

Galvão, Ana (15)

Clements, Michael (14)

Cites to:

Campbell, John (50)

French, Kenneth (20)

Bollerslev, Tim (17)

Stambaugh, Robert (17)

Andersen, Torben (16)

Ait-Sahalia, Yacine (15)

merton, robert (15)

Diebold, Francis (14)

Fama, Eugene (13)

Hodrick, Robert (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 Finance3
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 (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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2017Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation. (2017). Christiansen, Charlotte ; Jun, AI ; Asgharian, Hossein. In: CREATES Research Papers. RePEc:aah:create:2018-12.

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2018Realizing Correlations Across Asset Classes. (2018). Elst, Harry Vander ; Olesen, Kasper V ; Lunde, Asger ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-37.

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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, Miriam ; Vedenov, Dmitry ; Sanchez-Aragon, Leonardo ; Juarez-Torres, Miriam. 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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2019Dynamic 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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2018News Co-Occurrence, Attention Spillover and Return Predictability. (2018). 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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2018Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization. (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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2019Mean-Variance Efficiency of Optimal Power and Logarithmic Utility Portfolios. (2018). Parolya, Nestor ; Schmid, Wofgang ; Ivasiuk, Dmytro ; Bodnar, Taras. In: Papers. RePEc:arx:papers:1806.08005.

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2019DeepLOB: 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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2018On the Choice of Instruments in Mixed Frequency Specification Tests. (2018). Liu, Yun ; Rho, Yeonwoo. In: Papers. RePEc:arx:papers:1809.05503.

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2018Asset allocation: new evidence through network approaches. (2018). Clemente, Gian Paolo ; Hitaj, Asmerilda ; Grassi, Rosanna. In: Papers. RePEc:arx:papers:1810.09825.

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2018An updated review of (sub-)optimal diversification models. (2018). Bock, Johannes. In: Papers. RePEc:arx:papers:1811.08255.

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

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2019Enhancing 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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2019Near-Optimal Dynamic Asset Allocation in Financial Markets with Trading Constraints. (2019). Pelsser, Antoon ; Kamma, Thijs. In: Papers. RePEc:arx:papers:1906.12317.

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2019Detailed study of a moving average trading rule. (2019). Yen, Ju-Yi ; Silva, Christian A ; Ferreira, Fernando F. In: Papers. RePEc:arx:papers:1907.00212.

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2019Simulation smoothing for nowcasting with large mixed-frequency VARs. (2019). Ankargren, Sebastian ; Jon, Paulina. In: Papers. RePEc:arx:papers:1907.01075.

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2019Forecasting securitys volatility using low-frequency historical data, high-frequency historical data and option-implied volatility. (2019). Cui, Xiangyu ; Zhang, Zhiyuan ; Zhou, Yong ; Yuan, Huiling. In: Papers. RePEc:arx:papers:1907.02666.

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2019Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data. (2019). Lee, Kyungsub ; Ki, Byoung. In: Papers. RePEc:arx:papers:1908.05089.

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

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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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2018Big Data Econometrics: Now Casting and Early Estimates. (2018). Marcellino, Massimiliano ; Papailias, Fotis ; Mazzi, Gian Luigi ; Kapetanios, George ; Buono, Dario. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1882.

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2018Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence. (2018). Guidolin, Massimo ; Orlov, Alexei G. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1887.

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2018Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence. (2018). Guidolin, Massimo ; Orlov, Alexei. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1890.

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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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2018Nowcasting Canadian Economic Activity in an Uncertain Environment. (2018). Chernis, Tony ; Sekkel, Rodrigo. In: Discussion Papers. RePEc:bca:bocadp:18-9.

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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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2019Bayesian MIDAS penalized regressions: estimation, selection, and prediction. (2019). Mogliani, Matteo. In: Working papers. RePEc:bfr:banfra:713.

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2017Economic policy uncertainty in China and stock market expected returns. (2017). Chen, Jian ; Tong, Guoshi ; Jiang, Fuwei. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:5:p:1265-1286.

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2018Stock price crash risk: review of the empirical literature. (2018). Habib, Ahsan ; Jiang, Haiyan ; Hasan, Mostafa Monzur. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:211-251.

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2018Investor sentiment and the risk–return tradeoff in the Brazilian market. (2018). Piccoli, Pedro ; da Silva, Wesley Vieira. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:599-618.

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2017Dynamic Asset Allocation with Liabilities. (2017). Giamouridis, Daniel ; Tessaromatis, Nikolaos ; Sakkas, Athanasios. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:2:p:254-291.

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2018Persistency of the momentum effect. (2018). Chen, Hongyi ; Hsieh, Chiahsun ; Chou, PinHuang . In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:5:p:856-892.

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2017The Role of U.S. Market on International Risk-Return Tradeoff Relations. (2017). Sun, Licheng ; Najand, Mohammad ; Meng, Liang . In: The Financial Review. RePEc:bla:finrev:v:52:y:2017:i:3:p:499-526.

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2018Home is Where You Know Your Volatility – Local Investor Sentiment and Stock Market Volatility. (2018). Schneller, D ; Hamid, A ; Heiden, M. In: German Economic Review. RePEc:bla:germec:v:19:y:2018:i:2:p:209-236.

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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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2019THE REACTIVE BETA MODEL. (2019). Grebenkov, Denis ; Aboura, Sofiane ; Valeyre, Sebastien. In: Journal of Financial Research. RePEc:bla:jfnres:v:42:y:2019:i:1:p:71-113.

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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). Blake, David ; Shi, Zhen ; Inkmann, Joachim . 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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2018Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff. (2018). Hong, S-Y., ; Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1877.

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2018A Monthly Indicator of Economic Activity for Ireland. (2018). Conefrey, Thomas ; Walsh, Graeme. In: Economic Letters. RePEc:cbi:ecolet:14/el/18.

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2017Testing momentum effectfor the US market: From equity to option strategies. (2017). Dapena, Jose ; Serur, Juan A ; Siri, Julian R. In: CEMA Working Papers: Serie Documentos de Trabajo.. RePEc:cem:doctra:621.

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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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2018Forecasting using mixed-frequency VARs with time-varying parameters. (2018). Reif, Magnus ; Heinrich, Markus. In: ifo Working Paper Series. RePEc:ces:ifowps:_273.

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2019Forecasting Japanese inflation with a news-based leading indicator of economic activities. (2019). Yamamoto, Hiroki ; Shintani, Mototsugu ; Ishijima, Hiroshi ; Goshima, Keiichi. In: CARF F-Series. RePEc:cfi:fseres:cf458.

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2017Why is investorsmutual fund market allocation far from the optimum?. (2017). Laborda, Ricardo ; Losada, Ramiro. In: CNMV Working Papers. RePEc:cnv:wpaper:dt_65en.

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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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2017Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model. (2017). Ravazzolo, Francesco ; Marcellino, Massimiliano ; Foroni, Claudia ; Casarin, Roberto. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12339.

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2017A Portfolio Perspective on the Multitude of Firm Characteristics. (2017). de Miguel, Victor ; Uppal, Raman ; Nogales, Francisco J ; Martin-Utrera, Alberto ; Demiguel, Victor. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12417.

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2018Currency Risk Factors in a Recursive Multicountry Economy. (2018). Gavazzoni, Federico ; Ready, Robert ; Croce, Mariano Massimiliano ; Colacito, Riccardo. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12610.

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2018Paths to Convergence: Stock Price Behavior After Donald Trumps Election. (2018). Zeckhauser, Richard ; Ziegler, Alexandre ; Wagner, Alexander F. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12657.

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2018Risk Everywhere: Modeling and Managing Volatility. (2018). Bollerslev, Tim ; Pedersen, Lasse Heje ; Huss, John ; Hood, Benjamin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12687.

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2018Forecasting Methods in Finance. (2018). Timmermann, Allan G. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12692.

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2018Expected Stock Returns and the Correlation Risk Premium. (2018). Vilkov, Grigory ; Schonleber, Lorenzo ; Buss, Adrian. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12760.

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2018Tactical Target Date Funds. (2018). Gomes, Francisco J ; Zhang, Yuxin ; Michaelides, Alexander. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13019.

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2018Making Parametric Portfolio Policies Work. (2018). Gehrig, Thomas ; Westerkamp, Arne ; Sogner, Leopold . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13193.

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2018International yield curves and currency puzzles. (2018). Chernov, Mikhail ; Creal, Drew. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13252.

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2019Unhedgeable Inflation Risk within Pension Schemes. (2019). van Wijnbergen, Sweder ; Beetsma, Roel ; Chen, Damiaan. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13742.

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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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2018Global Positioning Risk and FX Trading Strategies. (2002). Menkhoff, Lukas ; Huang, Huichou. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2018_020.

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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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2019Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems. (2019). Dumitrescu, Elena Ivona ; de Truchis, Gilles. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-14.

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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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2018Mixed frequency models with MA components. (2018). Marcellino, Massimiliano ; Stevanovi, Dalibor ; Foroni, Claudia. In: Working Paper Series. RePEc:ecb:ecbwps:20182206.

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2019Forecasting daily electricity prices with monthly macroeconomic variables. (2019). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Working Paper Series. RePEc:ecb:ecbwps:20192250.

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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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2019Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity. (2019). Huang, Nan-Jing ; Wang, Ming-Hui ; Yue, Jia ; Yang, Ben-Zhang. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:355:y:2019:i:c:p:73-84.

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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]		paper33
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: 33		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]		article242
2003The Presidential Puzzle: Political Cycles and the Stock Market In: Journal of Finance.
[Full Text][Citation analysis]		article142
2006Dynamic Portfolio Selection by Augmentingthe Asset Space In: Journal of Finance.
[Full Text][Citation analysis]		article52
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]
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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]		paper26
2009Option strategies: Good deals and margin calls.(2009) In: Journal of Financial Markets.
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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.
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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: 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.
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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]		paper56
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.
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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.
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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]		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]		paper99
2003Flexible Multivariate GARCH Modeling with an Application to International Stock Markets.(2003) In: The Review of Economics and Statistics.
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2001Flexible multivariate GARCH modeling with an application to international stock markets.(2001) In: Economics Working Papers.
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2004The MIDAS Touch: Mixed Data Sampling Regression Models In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper170
2004The MIDAS Touch: Mixed Data Sampling Regression Models.(2004) In: CIRANO Working Papers.
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2003There is a Risk-Return Tradeoff After All In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper309
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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2004There is a Risk-Return Tradeoff After All.(2004) In: NBER Working Papers.
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2004Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper268
2004Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies.(2004) In: NBER Working Papers.
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2006Predicting volatility: getting the most out of return data sampled at different frequencies.(2006) In: Journal of Econometrics.
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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.
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1999The Dynamics of the Forward Interest Rate Curve: A Formulation with State Variables In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article32
2015Beyond the Carry Trade: Optimal Currency Portfolios In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article30
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]		article79
2008Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole.(2008) In: NBER Working Papers.
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2012Multifactor models and their consistency with the ICAPM In: Journal of Financial Economics.
[Full Text][Citation analysis]		article32
2015Momentum has its moments In: Journal of Financial Economics.
[Full Text][Citation analysis]		article72
2001Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market In: Journal of Financial Economics.
[Full Text][Citation analysis]		article15
2002Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets In: Journal of Financial Economics.
[Full Text][Citation analysis]		article64
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]		article98
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]		paper109
2005A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability.(2005) In: Review of Financial Studies.
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2010Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options In: The Review of Economics and Statistics.
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