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Pedro Santa-Clara : Citation Profile


Are you Pedro Santa-Clara?

Universidade Nova de Lisboa

19

H index

24

i10 index

1662

Citations

RESEARCH PRODUCTION:

22

Articles

34

Papers

RESEARCH ACTIVITY:

   18 years (1997 - 2015). See details.
   Cites by year: 92
   Journals where Pedro Santa-Clara has often published
   Relations with other researchers
   Recent citing documents: 153.    Total self citations: 22 (1.31 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psa1486
   Updated: 2018-02-24    RAS profile: 2016-04-18    
   Missing citations? Add them    Incorrect content? Let us know

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 (37)

Diebold, Francis (23)

Guo, Hui (23)

Bollerslev, Tim (19)

Schumacher, Christian (18)

Foroni, Claudia (18)

Andersen, Torben (16)

Christoffersen, Peter (15)

Sarno, Lucio (14)

Götz, Thomas (12)

Hecq, Alain (11)

Cites to:

Campbell, John (53)

French, Kenneth (20)

Stambaugh, Robert (17)

Bollerslev, Tim (17)

Ait-Sahalia, Yacine (15)

merton, robert (15)

Andersen, Torben (14)

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

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

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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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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 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 ; Aprigliano, Valentina ; Ardizzi, Guerino . 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, Hong Feng ; 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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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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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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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, Sohnke M ; Stulz, Rene M ; Brown, Gregory . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6560.

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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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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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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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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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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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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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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). Pan, Zhiyuan ; Yin, Libo ; 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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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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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). 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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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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2017Can tree-structured classifiers add value to the investor?. (2017). Laborda, Ricardo . In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:211-226.

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2017The impact of central clearing on banks’ lending discipline. (2017). Arnold, M. In: Journal of Financial Markets. RePEc:eee:finmar:v:36:y:2017:i:c:p:91-114.

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2017Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity. (2017). Chen, Langnan ; Tian, Fengping ; Yang, KE. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:132-152.

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2017A mixed frequency approach to the forecasting of private consumption with ATM/POS data. (2017). Rodrigues, Paulo ; Duarte, Cláudia ; Rua, Antonio . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:61-75.

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2017Model and survey estimates of the term structure of US macroeconomic uncertainty. (2017). Galvão, Ana ; Clements, Michael ; Galvo, Ana Beatriz. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:591-604.

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2017Optimal asset allocation for strategic investors. (2017). Laborda, Ricardo ; Olmo, Jose. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:970-987.

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2018MGARCH models: Trade-off between feasibility and flexibility. (2018). Hotta, Luiz ; Ruiz, Esther ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

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2017The joint cross-sectional variation of equity returns and volatilities. (2017). Gonzalez-Urteaga, Ana ; Rubio, Gonzalo . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:75:y:2017:i:c:p:17-34.

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2017Dividends, earnings, and predictability. (2017). Moller, Stig V ; Sander, Magnus . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:78:y:2017:i:c:p:153-163.

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2017Do oil futures prices predict stock returns?. (2017). I-Hsuan Ethan Chiang, ; Hughen, Keener W. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:79:y:2017:i:c:p:129-141.

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2017Dynamic portfolio optimization with ambiguity aversion. (2017). Zhang, Jinqing ; Jin, Zeyu . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:79:y:2017:i:c:p:95-109.

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2017The q-factors and expected bond returns. (2017). Franke, Benedikt ; Muller, Sonja . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:83:y:2017:i:c:p:19-35.

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2017Equity index variance: Evidence from flexible parametric jump–diffusion models. (2017). Kaeck, Andreas ; Seeger, Norman J ; Rodrigues, Paulo . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:83:y:2017:i:c:p:85-103.

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2017The market price of risk of the variance term structure. (2017). Dotsis, George . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:41-52.

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2017Portfolio choice and asset prices when preferences are interdependent. (2017). Curatola, Giuliano. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:140:y:2017:i:c:p:197-223.

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2017International volatility risk and Chinese stock return predictability. (2017). Jiang, Fuwei ; Chen, Jian ; Tu, Jun ; Liu, Yangshu . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:70:y:2017:i:c:p:183-203.

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2017European equity market integration and joint relationship of conditional volatility and correlations. (2017). Virk, Nader ; Javed, Farrukh . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:71:y:2017:i:c:p:53-77.

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2017Dynamic information spillovers in intraregionally-focused spot and forward currency markets. (2017). Fawson, Chris ; Yang, Jiao-Hui ; Wang, XI. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:71:y:2017:i:c:p:78-110.

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2017Do political factors affect stock returns during presidential elections?. (2017). Shen, Chung-Hua ; Lin, Chih-Yung ; Bui, Dien Giau . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:77:y:2017:i:c:p:180-198.

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2017Investor sentiment and economic forces. (2017). Shen, Junyan ; Zhao, Shen ; Yu, Jianfeng . In: Journal of Monetary Economics. RePEc:eee:moneco:v:86:y:2017:i:c:p:1-21.

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2017Momentum strategies for Islamic stocks. (2017). Narayan, Paresh Kumar ; Bach, Dinh Hoang . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:42:y:2017:i:c:p:96-112.

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2017New evidence on economic policy uncertainty and equity premium. (2017). Li, Xiao-Ming. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:46:y:2017:i:pa:p:41-56.

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2017Market states and the risk-return tradeoff. (2017). Wang, Zijun ; Khan, Moosa M. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:65:y:2017:i:c:p:314-327.

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2017A literature review of technical analysis on stock markets. (2017). Kimura, Herbert ; Sobreiro, Vinicius Amorim ; Lima, Jessica ; Farias, Rodolfo Toribio . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:66:y:2017:i:c:p:115-126.

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2017Can macroeconomic dynamics explain the time variation of risk–return trade-offs in the U.S. financial market?. (2017). Liu, Xiaochun . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:66:y:2017:i:c:p:275-293.

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2017Macroeconomic factors and index option returns. (2017). Lai, Ya-Wen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:452-477.

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2017Time-varying risk aversion and return predictability. (2017). Yoon, Sun-Joong . In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:327-339.

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2017Forecasting stock index futures returns with mixed-frequency sentiment. (2017). Gao, Bin ; Yang, Chunpeng . In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:69-83.

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2017Time-varying return-volatility relation in international stock markets. (2017). Jin, Xiaoye . In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:157-173.

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2017A fresh look at integration of risks in the international stock markets: A wavelet approach. (2017). Marfatia, Hardik. In: Review of Financial Economics. RePEc:eee:revfin:v:34:y:2017:i:c:p:33-49.

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2017Trend in aggregate idiosyncratic volatility. (2017). Nam, Kiseok ; Kang, Moonsoo ; Khaksari, Shahriar . In: Review of Financial Economics. RePEc:eee:revfin:v:35:y:2017:i:c:p:11-28.

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2017The returns, risk and liquidity relationship in high frequency trading: Evidence from the Oslo stock market. (2017). Hong, Minh Thi . In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:30-40.

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2017Was the collapse of the communist bloc a game changer in the stock markets? Left-wing vs. right-wing political preferences and stock market development. (2017). Geller, Gabriel ; Coelho, Maria Joo . In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:423-432.

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2017Flight to quality and the predictability of reversals: The role of market states and global factors. (2017). Demirer, Riza ; Yuksel, Aydin. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:1445-1454.

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2017Corporate risk-taking, returns and the nature of major shareholders: Evidence from prospect theory. (2017). López-Iturriaga, Félix ; Diez-Esteban, Jose Maria ; Santamaria-Mariscal, Marcos ; Garcia-Gomez, Conrado Diego ; Lopez-Iturriaga, Felix Javier . In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:900-911.

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2017Social capital, trust, and firm performance: the value of corporate social responsibility during the financial crisis. (2017). Servaes, Henri ; Tamayo, Ane ; Lins, Karl V. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:68059.

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2017State-controlled companies and political risk: evidence from the 2014 Brazilian election. (2016). guimaraes, bernardo ; Carvalho, Augusto . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:86172.

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2017The Univariate Collapsing Method for Portfolio Optimization. (2017). Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:18-:d:97715.

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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]
paper31
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: 31
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.
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article199
2003The Presidential Puzzle: Political Cycles and the Stock Market In: Journal of Finance.
[Full Text][Citation analysis]
article114
2006Dynamic Portfolio Selection by Augmentingthe Asset Space In: Journal of Finance.
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article44
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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This paper has another version. Agregated cites: 44
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2004Dynamic Portfolio Selection by Augmenting the Asset Space.(2004) In: NBER Working Papers.
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This paper has another version. Agregated cites: 44
paper
2000Political Cycles and the Stock Market In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper0
2004Option Strategies: Good Deals and Margin Calls In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper23
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.
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paper11
2001International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth).(2001) In: Working Papers.
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This paper has another version. Agregated cites: 11
paper
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: 11
paper
1997Bond Pricing with Default Risk In: University of California at Los Angeles, Anderson Graduate School of Management.
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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.
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paper43
2004Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns.(2004) In: NBER Working Papers.
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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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This paper has another version. Agregated cites: 43
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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.
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paper6
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.
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paper6
2004Two Trees In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper19
2008Two Trees.(2008) In: Review of Financial Studies.
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2002Relative Pricing of Options with Stochastic Volatility In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper16
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.
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paper1
1999Flexible Multivariate GARCH Modeling With an Application to International Stock Markets In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper87
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.
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paper133
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.
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paper254
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.
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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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2004Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies.(2004) In: NBER Working Papers.
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This paper has another version. Agregated cites: 220
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2003Two Trees: Asset Price Dynamics Induced by Market Clearing In: Levine's Bibliography.
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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.
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2015Beyond the Carry Trade: Optimal Currency Portfolios In: Journal of Financial and Quantitative Analysis.
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2015Dividend Yields, Dividend Growth, and Return Predictability in the Cross Section of Stocks In: Journal of Financial and Quantitative Analysis.
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2011Forecasting stock market returns: The sum of the parts is more than the whole In: Journal of Financial Economics.
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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.
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article20
2015Momentum has its moments In: Journal of Financial Economics.
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2001Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market In: Journal of Financial Economics.
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article14
2002Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets In: Journal of Financial Economics.
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article57
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.
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2011Does Institutional Ownership Matter for International Stock Return Comovement? In: EcoMod2011.
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2011Optimal Option Portfolio Strategies In: EcoMod2011.
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2004A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability In: NBER Working Papers.
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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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