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Parametric portfolio policies : exploiting characteristics in the cross-section of equity returns
Brandt, Michael W.; Santa-Clara, Pedro; Valkanov, Rossen I. - In: The review of financial studies 22 (2009) 9, pp. 3411-3447
Persistent link: https://www.econbiz.de/10003885704
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There is a risk-return trade-off after all
Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen I. - In: Journal of financial economics 76 (2005) 3, pp. 509-548
Persistent link: https://www.econbiz.de/10002878247
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Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets
Brandt, Michael W.; Santa-Clara, Pedro - In: Journal of financial economics 63 (2002) 2, pp. 161-210
Persistent link: https://www.econbiz.de/10001636757
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The dynamics of the forward interest rate curve with stochastic string shocks
Santa-Clara, Pedro; Sornette, Didier - In: The review of financial studies 14 (2001) 1, pp. 149-185
Persistent link: https://www.econbiz.de/10001543111