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Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets

Brandt, Michael W. (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002011289

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

Parametric portfolio policies : exploiting characteristics in the cross-section of equity returns

Brandt, Michael W.; Santa-Clara, Pedro; Valkanov, Rossen I. - 2004

Persistent link: https://www.econbiz.de/10002499370

Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets

Brandt, Michael W.; Santa-Clara, Pedro - 2001

Persistent link: https://www.econbiz.de/10001606888

Beyond the carry trade : optimal currency portfolios

Barroso, Pedro; Santa-Clara, Pedro - In: Journal of financial and quantitative analysis : JFQA 50 (2015) 5, pp. 1037-1056

Persistent link: https://www.econbiz.de/10011431137

Momentum has its moments

Barroso, Pedro; Santa-Clara, Pedro - In: Journal of financial economics 116 (2015) 1, pp. 111-120

Persistent link: https://www.econbiz.de/10011347950

Dividend yields, dividend growth, and return predictability in the cross section of stocks

Maio, Paulo; Santa-Clara, Pedro - In: Journal of financial and quantitative analysis : JFQA 50 (2015) 1/2, pp. 33-60

Persistent link: https://www.econbiz.de/10011348008

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...

Persistent link: https://www.econbiz.de/10002482290

There is a risk-return tradeoff after all

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

Persistent link: https://www.econbiz.de/10002482316