| Year |
Citation |
Score |
| 2017 |
Maio PF, Santa-Clara P. Short-Term Interest Rates and Stock Market Anomalies Journal of Financial and Quantitative Analysis. 52: 927-961. DOI: 10.2139/Ssrn.1986787 |
0.532 |
|
| 2017 |
Faias JA, Santa-Clara P. Optimal Option Portfolio Strategies: Deepening the Puzzle of Index Option Mispricing Journal of Financial and Quantitative Analysis. 52: 277-303. DOI: 10.1017/S0022109016000831 |
0.401 |
|
| 2016 |
Rangvid J, Santa-Clara P, Schmeling M. Capital market integration and consumption risk sharing over the long run Journal of International Economics. 103: 27-43. DOI: 10.1016/J.Jinteco.2016.08.001 |
0.549 |
|
| 2015 |
Barroso P, Santa-Clara P. Beyond the Carry Trade: Optimal Currency Portfolios Journal of Financial and Quantitative Analysis. 50: 1037-1056. DOI: 10.1017/S0022109015000460 |
0.511 |
|
| 2015 |
Maio PF, Santa-Clara P. Dividend Yields, Dividend Growth, and Return Predictability in the Cross-Section of Stocks Journal of Financial and Quantitative Analysis. 50: 33-60. DOI: 10.1017/S0022109015000058 |
0.474 |
|
| 2015 |
Barroso P, Santa-Clara P. Momentum has its moments Journal of Financial Economics. 116: 111-120. DOI: 10.1016/J.Jfineco.2014.11.010 |
0.469 |
|
| 2012 |
Maio P, Santa-Clara P. Multifactor models and their consistency with the ICAPM Journal of Financial Economics. 106: 586-613. DOI: 10.1016/J.Jfineco.2012.07.001 |
0.583 |
|
| 2011 |
Ferreira MA, Santa-Clara P. Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole Journal of Financial Economics. 100: 514-537. DOI: 10.1016/J.Jfineco.2011.02.003 |
0.54 |
|
| 2010 |
Santa-Clara P, Yan S. Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options The Review of Economics and Statistics. 92: 435-451. DOI: 10.1162/Rest.2010.11549 |
0.569 |
|
| 2009 |
Hsu JC, Saá-Requejo J, Santa-Clara P. A Structural Model of Default Risk The Journal of Fixed Income. 19: 77-94. DOI: 10.3905/Jfi.2010.19.3.077 |
0.55 |
|
| 2009 |
Malevergne Y, Santa-Clara P, Sornette D. Professor Zipf Goes to Wall Street National Bureau of Economic Research. DOI: 10.2139/Ssrn.1458280 |
0.529 |
|
| 2009 |
Brandt MW, Santa-Clara P, Valkanov RI. Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns Review of Financial Studies. 22: 3411-3447. DOI: 10.1093/Rfs/Hhp003 |
0.448 |
|
| 2009 |
Santa-Clara P, Saretto A. Option Strategies: Good Deals and Margin Calls Journal of Financial Markets. 12: 391-417. DOI: 10.1016/J.Finmar.2009.01.002 |
0.485 |
|
| 2006 |
Brandt MW, Santa-Clara P. Dynamic Portfolio Selection by Augmenting the Asset Space Journal of Finance. 61: 2187-2217. DOI: 10.2139/Ssrn.514582 |
0.417 |
|
| 2006 |
Brandt MW, Cochrane JH, Santa-Clara P. International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth) Journal of Monetary Economics. 53: 671-698. DOI: 10.1016/J.Jmoneco.2005.02.004 |
0.474 |
|
| 2006 |
Ghysels E, Santa-Clara P, Valkanov R. Predicting volatility: Getting the most out of return data sampled at different frequencies Journal of Econometrics. 131: 59-95. DOI: 10.1016/J.Jeconom.2005.01.004 |
0.399 |
|
| 2005 |
Brandt MW, Goyal A, Santa-Clara P, Stroud JR. A simulation approach to dynamic portfolio choice with an application to learning about return predictability Review of Financial Studies. 18: 831-873. DOI: 10.1093/Rfs/Hhi019 |
0.399 |
|
| 2005 |
Ghysels E, Santa-Clara P, Valkanov R. There is a risk-return trade-off after all Journal of Financial Economics. 76: 509-548. DOI: 10.1016/J.Jfineco.2004.03.008 |
0.571 |
|
| 2004 |
Santa-Clara P, Yan S. Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options National Bureau of Economic Research. DOI: 10.2139/Ssrn.690021 |
0.5 |
|
| 2004 |
Hsu JC, Saa-Requejo J, Santa-Clara P. Bond Pricing with Default Risk The Finance. DOI: 10.2139/Ssrn.611401 |
0.512 |
|
| 2004 |
Santa-clara P. Discussion of ''Implied Equity Duration: A New Measure of Equity Risk'' Review of Accounting Studies. 9: 229-231. DOI: 10.1023/B:Rast.0000028187.59987.8F |
0.422 |
|
| 2003 |
Cochrane JH, Longstaff FA, Santa-Clara P. Two Trees: Asset Price Dynamics Induced by Market Clearing National Bureau of Economic Research. DOI: 10.2139/Ssrn.555950 |
0.588 |
|
| 2003 |
Goyal A, Santa-Clara P. Idiosyncratic Risk Matters Journal of Finance. 58: 975-1007. DOI: 10.2139/Ssrn.331921 |
0.61 |
|
| 2003 |
Ledoit O, Santa-Clara P, Wolf M. Flexible Multivariate GARCH Modeling with an Application to International Stock Markets The Review of Economics and Statistics. 85: 735-747. DOI: 10.2139/Ssrn.311514 |
0.502 |
|
| 2003 |
Santa-Clara P, Valkanov RI. The Presidential Puzzle: Political Cycles and the Stock Market Journal of Finance. 58: 1841-1872. DOI: 10.1111/1540-6261.00590 |
0.558 |
|
| 2002 |
Brandt MW, Santa-Clara P. Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets Journal of Financial Economics. 63: 161-210. DOI: 10.1016/S0304-405X(01)00093-9 |
0.441 |
|
| 2001 |
Santa-Clara P, Sornette D. The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks Review of Financial Studies. 14: 149-185. DOI: 10.2139/Ssrn.216455 |
0.43 |
|
| 2001 |
Longstaff FA, Santa-Clara P, Schwartz ES. The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence Journal of Finance. 56: 2067-2109. DOI: 10.1111/0022-1082.00399 |
0.553 |
|
| 2001 |
Longstaff FA, Santa-Clara P, Schwartz ES. Throwing away a billion dollars: The cost of suboptimal exercise strategies in the swaptions market Journal of Financial Economics. 62: 39-66. DOI: 10.1016/S0304-405X(01)00073-3 |
0.418 |
|
| 2000 |
Santa-Clara P, Valkanov RI. Political Cycles and the Stock Market The Finance. DOI: 10.2139/Ssrn.244728 |
0.526 |
|
| 1999 |
Jong Fd, Santa-Clara P. The Dynamics of the Forward Interest Rate Curve: A Formulation with State Variables Journal of Financial and Quantitative Analysis. 34: 131-157. DOI: 10.2307/2676249 |
0.43 |
|
| 1998 |
Ledoit O, Santa-Clara P, Yan S. Relative Pricing of Options with Stochastic Volatility The Finance. DOI: 10.2139/Ssrn.121257 |
0.55 |
|
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