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Earnings announcements are full of surprises

Brandt, Michael W.; Kishore, Runeet; Santa-Clara, Pedro; … - 2008 - This version: January 22, 2008

Persistent link: https://www.econbiz.de/10003768329

Forecasting stock market returns : the sum of the parts is more than the whole

Ferreira, Miguel A.; Santa-Clara, Pedro - 2008

Persistent link: https://www.econbiz.de/10003791605

Crashes, volatility, and the equity premium : lessons from S&P 500 options

Santa-Clara, Pedro; Yan, Shu - In: The review of economics and statistics 92 (2010) 2, pp. 435-451

Persistent link: https://www.econbiz.de/10008737706

Forecasting stock market returns : the sum of the parts is more than the whole

Ferreira, Miguel A.; Santa-Clara, Pedro - In: Journal of financial economics 100 (2011) 3, pp. 514-537

Persistent link: https://www.econbiz.de/10009242099

Predicting volatility: getting the most out of return data sampled at different frequencies

Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen I. - In: Journal of econometrics 131 (2006) 1/2, pp. 59-95

Persistent link: https://www.econbiz.de/10003298564

Predicting volatility : getting the most out of return data sampled at different frequencies

Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen - 2004

"We consider various MIDAS (Mixed Data Sampling) regression models to predict volatility. The models differ in the specification of regressors (squared returns, absolute returns, realized volatility, realized power, and return ranges), in the use of daily or intra-daily (5-minute) data, and in...